If I try to price the options on XYZ Corp. The current stock price=$100/share. Risk free rate=5%. Projected stock price of XYZ will either be $90 or $120 in a year. I want to borrow or lend at the risk-free=5% I want to use the risk-neutral approach to price the 1 year call option on XyZ Corp with the strike price of $105. How do I calculate the put-call parity to verify the call and put option prices?
The price of the options on XYZ Corp.The current stock price of XYZ=$100/share.The risk free rate =5%. I want to project that the stock price will either be $90 or $120 in a year. I want to borrow or lend money at the risk-free rate. I want to use the risk-free portfolio approach to price the 1 year put option on XYZ Corp with the strike price of $105. How do I calculate the put cal parity and put option prices? And How do I estimate the implied volatility?