A Put Option with 60 Days to Maturity,exercise Price of $12.00,underlying

question 16

Multiple Choice

A put option with 60 days to maturity,exercise price of $12.00,underlying spot price of 14.00 and risk-free rate of 7% p.a.is valued at $0.10.What is the value of a call option with the same characteristics? (Assume the put option premium is correctly priced and there are no dividends. )

• A) \( \$ 2.10 \)
• B) \( \$ 2.16 \)
• C) \( \$ 2.24 \)
• D) \( \$ 2.40 \)

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