A European put option written on a non- dividend paying stock that is currently worth ₺100 in the stock market has a strike price of ₺100 and exactly five months left until its expiration date. If the continuously compounded annual risk-free rate is observed as 20% per year across all maturities and the put option is currently priced at ₺3.20 in the option market, what should be the theoretical price of a European call option written on the same stock that has the same strike price and expiration date as the put option described?

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
Section: Chapter Questions
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A European put option written on a non-
dividend paying stock that is currently worth
₺100 in the stock market has a strike price of
₺100 and exactly five months left until its
expiration date. If the continuously compounded
annual risk-free rate is observed as 20% per year
across all maturities and the put option is
currently priced at ₺3.20 in the option market,
what should be the theoretical price of a
European call option written on the same stock
that has the same strike price and expiration
date as the put option described?
Transcribed Image Text:A European put option written on a non- dividend paying stock that is currently worth ₺100 in the stock market has a strike price of ₺100 and exactly five months left until its expiration date. If the continuously compounded annual risk-free rate is observed as 20% per year across all maturities and the put option is currently priced at ₺3.20 in the option market, what should be the theoretical price of a European call option written on the same stock that has the same strike price and expiration date as the put option described?
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