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Corporate Finance · End Term · 13 Apr 2025 · January 2025 term

Question 19: The price of a one-year European call option on a non-di…

Question 19

+3 marksOne correct option

The price of a one-year European call option on a non-dividend-paying stock with a strike price of Rs 120 is Rs 15. The stock price is Rs 115, and the annual risk-free rate of return is 8% (continuously compounded). What is the price of a one-year European put option on the same stock with a strike price of Rs 120?

  1. A

    Rs 2.45

  2. B

    Rs 6.24

  3. C

    Rs 10.77

  4. D

    Rs 16.37

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Correct answer

  • C

    Rs 10.77

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Question 19 of 35 in the IIT Madras BS Corporate Finance (Corporate Finance) End Term paper sat on 13 Apr 2025, in the January 2025 term (IIT M IMPROVEMENT AN EXAM QIM3 13 Apr 2025). It carries 3 marks.

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