A Put Option That Expires in Eight Months with an Exercise

question 56

Multiple Choice

A put option that expires in eight months with an exercise price of $57 sells for $3.85.The stock is currently priced at $59,and the risk-free rate is 3.1 percent per year,compounded continuously.What is the price of a call option with the same exercise price and expiration date?

• A)$6.67
• B)$7.02
• C)$7.34
• D)$7.71
• E)$7.80