In: Finance
J-Rata Corp shares are currently trading at $30 each. It is expected to increase by 10% or decrease by 6% during the next two-three months. If its strike price at maturity in six months is set as $32 and the risk free rate is 8% per annum for all maturities: calculate its call options price and its put option price currently. Test and prove that the put-call parity is holding based on your option pricing.
As per put call parity |
Call price + PV of exercise price = Spot price + Put price |
2.9179+32*e^(-0.08*0.5)=30+Put value |
Put value = 3.6632 |