medium · FRM Part 1
A European call and put on a non-dividend stock both have K = $50, T = 0.5, S_0 = 50, and r = 6%. The call is quoted at $4.
What is the put's price, and what would happen if the put traded at $2.00?
- Put is 2.52; if at 2.00, sell the put, sell the stock, and buy the call.
- Put is 4.00; if at 2.00, buy the put and the call.
- Put is 1.48; if at 2.00, buy the call and sell the put.
- Put is 2.52; if at 2.00, buy the put, buy the stock, and sell the call.
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