NO.PZ2016082402000027
问题如下:
A one-year European put option on a non-dividend-paying stock with strike at EUR 25 currently trades at EUR 3.19. The current stock price is EUR 23 and its annual volatility is 30%. The annual risk-free interest rate is 5%. What is the price of a European call option on the same stock with the same parameters as those of this put option? Assume continuous compounding.
选项: A. EUR 1.19
B.
EUR 3.97
C.
EUR 2.41
D.
Cannot be determined with the data provided
解释:
ANSWER: C
By put-call parity, . Note that the volatility information is not useful.
同学你好,第一句话你可以分开来看:有一个执行价格是25的put option,这个option现在市面上价值是3.19元。 以上是品智老师的讲解,但根据答案25是K值呀,3.19是put option的值吗?麻烦将题干中数据与CK PS值对应