The premium of a call option with a strike price of $50 is equal
to $6 and the premium of a call
option with a strike price of $60 is equal to $3. The premium of a
put option with a strike price of $50
is equal to $4. All these options have a time to maturity of 6
months. The risk-free rate of interest is
7%. In the absence of arbitrage opportunities, what should be the
premium of a put option with a strike
price of $60?
Proper solution is provided.
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