What is the price of strike european

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Reference no: EM132217053

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Q1. A reversal (synthetic short T-bill) was created by selling a nondividend-paying stock for $99, buying a 5-month European call option with a strike price of $96 on a share of stock for $6.57, and selling a 5-month European put option with a strike price of $96 for SP. The annual effective rate of interest is 3%. Find P.

Q2. Suppose the exchange rate is $1.25/€, the euro-denominated continuously compounded interest rate is 4%, the dollar-denominated continuously compounded interest rate is 6%, and the price of 2-year $1.20-strike European cal on the euro is $0.19. What is the price of a 2-year $1.20-strike European put on the Euro?

Reference no: EM132217053

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