Due date: November 15, 2009
Instruction: Please submit your assignment as an attachment
to my Blackboard E-mail by midnight on the due date
Solve all problems in an excel sheet.
Yesterday, the stock price of ABC Inc. closed at $58.00. Assume the value of options of ABC maturing in a month with different strike prices are as following:
Note: here the stock price is constant and there are different strike prices.
A call option for XYZ maturing in three months (t = 0.25 years) with a strike price of $40 is selling for $10.0. The risk-free rate is 6 percent. The current stock price for XYZ is $49.52. Using the put-call parity, find the value of a put option with the same maturity and the same strike price.
You need to post this as a question and price it.