What is the value of a European put option on GM stock

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Question - Suppose that you are holding a European call option on General Motors stock that expires in 5 years. The option is currently at-the-money. GM's current stock price is $42.50 and the current yield on a 5-year Treasury bond is 2%. The standard deviation of returns on GM stock is 25%. For the purposes of this series of questions, you should assume that GM does not pay dividends.

Given your answer to the previous question, what is the value of a European put option on GM stock that expires in 5 years and is also currently at-the-money?

Reference no: EM132975829

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