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Put-call parity to find the value of a european put

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Reference no: EM132407400

Consider a stock whose price is $100 per share and pays a dividend with a yield of 2% per annum continuous and has a volatility of 30% per annum. If the risk-free rate of return is 5% per annum continuously compounded then find the value of a European call with exercise price of $100 and with 26 weeks to expiration. Use Put-Call Parity to find the value of a European put with the same strike and expiration.

Reference no: EM132407400

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