Question 8 A non – dividend – paying stock with a current price of £104, the...

Question 8

A non – dividend – paying stock with a current price of £104, the strike price is £100, the volatility is 30% pa, the risk-free interest rate is 12% pa, and the time to maturity is 3 months?

a) Calculate the price of a call option on this stock?

b) Calculate the price of a put option price on this stock?

c) Is the put-call parity of these options hold?

If possible, please provide a detailed step by step and include an explanation as I would like to fully understand and not just copy answers. Thank you :)

Expert Solution

jeff jeffy answered 2 years ago

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