A Call Option with a Strike Price of $45 Sells

question 124

Multiple Choice

A call option with a strike price of $45 sells for $4.25. The option has three months to expiration and the stock is currently selling for $48. The stock will pay a $1.50 dividend in one month. The risk-free rate of interest is 4 percent. What is the price of a put option with the same strike and expiration? Assume the options are European style.

• A) $1.33
• B) $1.55
• C) $1.39
• D) $1.13
• E) $2.31

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