What does put-call parity imply about the price

Reference no: EM133326225

Question: David is interested in purchasing a Call option on DV Inc, a non-dividend paying stock, with a strike price of $100 and two years until expiration. The stock is currently trading at $100 per share, and the annual variance on its continuously compounded returns is 0.04. The risk-free interest rate is 5% per year.

Use the Black and Scholes model to calculate the price of the Call option.

What does Put-Call parity imply about the price of the Put with a strike price of $100, and two years to expiration on the same stock?

Reference no: EM133326225

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