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Unformatted text preview: 3. What is the dividend yield of a $58 put option with 6 months to maturity that is selling for $6.17, if the underlying stock is trading for $55, the risk free rate is 5%, and the identical call option is selling for a premium of $4.05? 4. If a $50 call option with 4 months to maturity is trading for $3.15 and the identical put option is trading for $5.50, what is the price of the underlying stock if the dividend yield is 4% and the risk free rate is 6%? 5. If a $45 call with 3 months to maturity is trading for $6 and the identical put is trading for $3, does put-call parity hold if the underlying stock is trading for $48, the dividend yield is 0% and the risk free rate is 6%?...
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This document was uploaded on 06/09/2010.
- Fall '09