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

question 36

Multiple Choice

A put option with 60 days to maturity,exercise price of $12.00,and the risk-free rate is 7% p.a.If a call option is trading at $2.24 and a put option with $0.06,what is the share price that will result in put-call parity holding?

• A) \( \$ 10 \)
• B) \( \$ 12 \)
• C) \( \$ 14 \)
• D) \( \$ 16 \)

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