Question

The price of a European put option on a stock with a strike price of $30.00...

The price of a European put option on a stock with a strike price of $30.00 is $6.80. The stock price is $28.00, the continuously compounded risk-free rate (all maturities) is 4% and the time to maturity is one year. A dividend of $2.00 is expected in three months. What is the price of a one-year European call option on the stock with a strike price of $30.00?  

Select one:

a. $7.22

b. $4.00

c. $6.98

d. $4.74

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Answer #1

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