Consider a Pair of At-The-Money European Call and a Put

question 7

Multiple Choice

Consider a pair of at-the-money European call and a put options written on the same non-dividend-paying stock with the same maturity. Which of the following statements is most accurate?

• A) The minimum price of the call is at least as much as that of the put.
• B) The minimum price of the call is equal to that of the put.
• C) The minimum price of the call is less than that of the put.
• D) There is not enough information to decide.

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Definitions:

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