Answer must be A, B, or C to be correct. Please explain. Thank you. Given the fo

Question

Answer must be A, B, or C to be correct. Please explain. Thank you.

Given the following parameters use put-call parity to determine the price of a put option with the same exercise price.

Current stock price:        $48.00

Call option exercise price:           $50.00

Sales price of call options:           $3.80

Months until expiration of call options:                 3

Risk free rate: 2.6 percent

Compounding:     continuous

A.) Price of put option = $4.52

B.) Price of put option = $6.13

C.) Price of put option = $5.48

Explanation / Answer

As per put call parity

P = C - S + Xe^ -rt

=3.8 - 48 + 50 e ^ -0.026*0.25

=3.8 - 48 + 49.676

=5.476

Answer 5.48 c

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