Determine the strike price of the two options

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Assume, US risk-free rate: R (US) F = 1.5% p.a. Canadian risk-free rate: R (CA) F = 2.2% p.a. All interest rates are given with continuous compounding.

Question) The prices of a 6-month European call and a 6-month European put option on a non-dividend-paying stock with stock price $120 are $3.50 and $7.13, respectively. Determine the strike price of the two options assuming it is identical for both.

Reference no: EM132807307

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