financial management

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The current price of a stock is $33, and the annual risk-free rate is 6%. A call option with a strike price of $32 and with 1 year until expiration has a current value of $6.56. What is the value of a put option written on the stock with the same exercise price and expiration date as the call option?

  • financial management -

    V ¨C P + X exp(-rRF t) = $6.56 - $33 + $32 e-0.06(1) = $6.56 - $33 + $30.136 = $3.696 ¡Ö $3.70.

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