Compute the price of a put option using put-call parity

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Reference no: EM131458158

Question: SINDY index is currently at I = 11,057. European options on SINDY have a strike price K = $11,000, a maturity T = 45 days, a dividend yield D = 1.5 percent per year, the risk-free interest rate r = 5 percent per year, and the estimated implied volatility S = 16 percent per year.

a. Compute the price of a call option using the Merton formula.

b. Compute the price of a put option using the appropriate version of put-call parity.

Reference no: EM131458158

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