2. The price of a European call that expires in six months and has a strike price of $30 is $2. The underlying stock price is $29, and a dividend of $0.50 is expected in two months and again in five months. The term structure is flat, with all risk-free interest rates being 10%. Calculate the price of a European put option that expires in six months and has a strike price of $30. of Dividends Dividend 1* e^(-12) Dividend 2* e^(-12)

Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
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2. The price of a European call that expires in six months and has a strike price of
$30 is $2. The underlying stock price is $29, and a dividend of $0.50 is expected
in two months and again in five months. The term structure is flat, with all risk-free
interest rates being 10%. Calculate the price of a European put option that expires
in six months and has a strike price of $30.
PY of Dividends Dividend 1* e^(-12) + Dividend 2 * e^(-12)
Transcribed Image Text:2. The price of a European call that expires in six months and has a strike price of $30 is $2. The underlying stock price is $29, and a dividend of $0.50 is expected in two months and again in five months. The term structure is flat, with all risk-free interest rates being 10%. Calculate the price of a European put option that expires in six months and has a strike price of $30. PY of Dividends Dividend 1* e^(-12) + Dividend 2 * e^(-12)
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