What is the price of a call option

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You are observing the following market prices. A put option that expires in six months with an exercise price of $45 sells for $5.80. The stock is currently priced at $40, and the risk-free rate is 3.6% per year, compounded continuously.

What is the price of a call option with the same exercise prices and maturity?

In the above example, suppose you form a portfolio consisting of selling a call option and buying a put option on the same stock. Is this portfolio risk free?

In the above example, suppose you form a portfolio consisting of buying a share of the stock, selling a call option and buying a put option on the same stock. Is this portfolio risk-free?

Reference no: EM132664601

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