medium · Quantitative Finance derivatives
A European call option on a stock that pays a continuous dividend yield of q = 3% has a strike of K = 100 and expires in one year (T = 1).
If the risk-free rate is r = 5% and the call is currently trading at C = $8, what must be the price of the corresponding European put P if the spot price is S_0 = 95?
- $8.12
- $10.93
- $5.25
- $13.12
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