The 3-month maturity put option price is $6 with a strike price of $60 on the asset that is currently trading at $55. If the annual risk-free rate is 8%, what is the price of a 3-month maturity call option with a strike price of $60 on the same asset? If the investor writes a 3-month call option and the future spot price of the asset is $65, what is the net profit/loss to the investor? Calculate the price of the call option and the net profit/loss to the investor. (A) The price of the call option is $2.18 and the net loss to the investor is $2.82. (B) The price of the call option is $6.00 and the net profit to the investor is $1.00. (C) The price of the call option is $4.82 and the net loss to the investor is $4.82. (D) The price of the call option is $5.00 and the net profit to the investor is $0.00
Added by Vicenta L.
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The formula is: Call price = Put price + (Spot price - Strike price * e^(-rt)) Where: - Call price is the price of the call option - Put price is the price of the put option ($6) - Spot price is the current price of the asset ($55) - Strike price is the strike Show more…
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