Question

Stock currently trades for $30.63, strike price is $30.96, the 6 month European call trades at $2, risk free rate is 6% per annum, calculate the price for the 6 month European put using put-call parity. The stock does not pay dividends. Keep your answer to two decimal places.

Answer #1

As per Call Put Partiy

where r is the risk free rate of return i.e. 0.0245

t is the time period 1

30.96 * e^(-r*t) + 2 = 30.63 + Premium of Put

30.96 * e^(-0.06*0.5) + 2 = 30.63 + Premium of Put

30.96 * 0.97044553354 + 2 = 30.63 + Premium of Put

30.0449937183 + 2 = 30.63 + Premium of Put

32.0449937183 = 30.63 + Premium of Put

Premium of Put = 32.0449937183 - 30.63

**Premium of Put = 1.415**

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