A put option that expires in six months with an exercise price of $30 sells for

Question

A put option that expires in six months with an exercise price of $30 sells for $4.65. The stock is currently priced at $26, and the risk-free rate is 4.3 percent per year, compounded continuously.

What is the price of a call option with the same exercise price? (Do not round intermediate calculations and round your final answer to 2 decimal places (e.g., 32.16).)

A put option that expires in six months with an exercise price of $30 sells for $4.65. The stock is currently priced at $26, and the risk-free rate is 4.3 percent per year, compounded continuously.

Explanation / Answer

Call option price = $4.65 + $26 - $30 * e-4.3%*0.5

= $1.29

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