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18.Interest rates are zero. A European call with a strike price of $50 and a maturity of one year is worth $6. A European put with a strike price of $50 and a maturity of one year is worth $7. The current stock price is $49. Which of the following is true?
A.The call price is high relative to the put price
B.The put price is high relative to the call price
C.Both the call and put must be mispriced
D.None of the above
A.The call price is high relative to the put price
B.The put price is high relative to the call price
C.Both the call and put must be mispriced
D.None of the above
Answer: D
In this case because interest rates are zero c+K=p+S0. The left side of this equation is 50+6=56. The right side is 49+7=56. There is no mispricing.
In this case because interest rates are zero c+K=p+S0. The left side of this equation is 50+6=56. The right side is 49+7=56. There is no mispricing.
Karteninfo:
Autor: CoboCards-User
Oberthema: Finance & Investment
Thema: Derivatives
Veröffentlicht: 27.10.2015