European-style options, In mid-February 2016,

European-style options

Assignment Help Financial Management

Reference no: EM131907610

In mid-February 2016, European-style options on the S&P 100 index (OEX) expiring in December 2017 were priced as follows:

Dec 2017 OEX Index Options

Strike Price Call Price Put Price

840 ........................ 88.00 .........................

860 ........................ 76.30 ................. 102.21

880 ..................................................111.56

Given an interest rate of 0.40% for a December 2017 maturity (22 months in the future), use put-call parity (with dividends) to determine:

a. The price of a December 2017 OEX put option with a strike price of 840.

b. The price of a December 2017 OEX call option with a strike price of 880?

Reference no: EM131907610

Questions Cloud

Determine the level and shape of the yield curve : Describe the factors that determine the level and shape of the yield curve.

Relieve the hydraulic pressure on the liner : If the leachate head had the potential to build to 24 inches, what is a simple design technique that could relieve the hydraulic pressure on the liner?

Define how might the lessons impact your career success : Discuss how you can apply the concepts learned in this public Policy Class to your current career (law enforcement).

Employees-management-government-trade unions : What are the ethical issues involved with the strike for each group such as employees, management, government, trade unions?

European-style options : In mid-February 2016, European-style options on the S&P 100 index (OEX) expiring in December 2017 were priced as follows.

Identify several drawbacks to being a worker : Identify several drawbacks to being a worker of the late 19th century. Think broadly, are you a recent immigrant stuck with what you get?

Primary functions of customer relationship management : Discuss the primary functions of both customer relationship management (CRM) and collaborative CRM.

Management strategies would be most effective in helping : What management strategies would be most effective in helping GM/Holden adapt to uncertainty and change in its external environment?

List and describe an organization stakeholders : List and describe an organization's stakeholders (3 principal types and the stake holders under each type), their different interest

User Account

All Pages