A Call Option Sells for $0

question 129

Multiple Choice

A call option sells for $0.40 and has 4 months to expiration. The current stock price is $35, and the risk-free rate is 4%. If the strike price is $35 and the stock will pay a $0.60 dividend two months from now, what is the price of a put option with the same strike and expiration? Assume that options are European style.

• A) $0.38
• B) $0.67
• C) $0.54
• D) $0.83
• E) $0.17

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