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You are given that all conditions for put-call parity are satisfied. The following are current option prices on a certain computer company, as of June 9, 2013:

• For the exercise price of $400, date of expiration June 28, 2012, the call premium is $40.05, and the put premium is $1.43.

• For the exercise price of $410, date of expiration June 28, 2012, the call premium is $31.05, and the put premium is $2.40. Find the continuously compounded annual risk-free interest rate. Assume 365 days in a year.

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92412084

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