medium · FRM Part 1 Valuation and Risk Models
A trader writes a 1-year European call option. He uses a binomial tree and finds that the option value is 8.40.
If he uses the same tree parameters and spot price to value a European put with the same strike and maturity, and finds it is worth5.20, what is the implied continuous risk-free rate if S_0=K=100?
- 5.00%
- 4.10%
- 3.25%
- 2.80%
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