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38. Calvin Industries is currently trading for $27 per share. The stock pays no dividends. A...

38. Calvin Industries is currently trading for $27 per share. The stock pays no dividends. A one-year European put option on Calvin with a strike price of $30 is currently trading for $2.60 and a one-year European call option on Calvin with the same strike price and remaining time to maturity as the European put is trading for $1.30. The annual risk-free rate comes closest to: A) 5.7%. B) 5.8% C) 5.9% D) 6% Ans: D

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