In: Finance
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 :)