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Corporate Finance · End Term · 22 Dec 2024 · September 2024 term · Set QDB3

Question 26: The price of a three-month European put option on a non-…

Question 26

+3 marksOne correct option

The price of a three-month European put option on a non-dividend-paying stock with a strike price of Rs 60 is Rs 6. The stock price is Rs 58, and the annual risk-free rate is 8% (continuously compounded). What is the price of a three-month European call option on the stock with a strike price of Rs 60?

  1. A

    Rs 9.45

  2. B

    Rs 5.19

  3. C

    Rs 2.09

  4. D

    Rs 0.64

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Correct answer

  • B

    Rs 5.19

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Question 26 of 35 in the IIT Madras BS Corporate Finance (Corporate Finance) End Term paper sat on 22 Dec 2024, in the September 2024 term (IIT M DEGREE AN EXAM QDB3 22 Dec 2024). It carries 3 marks.

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