SOA Exam FAM Sample Question 77
Study guide: Exam FAM
You are given:
i) The current price to buy one share of XYZ stock is 500.
ii) The stock does not pay dividends.
iii) The continuously compounded risk-free interest rate is 6%.
iv) A European call option on one share of XYZ stock with a strike price of K that expires in one year costs 66.59.
v) A European put option on one share of XYZ stock with a strike price of K that expires in one year costs 18.64.
Using put-call parity, calculate the strike price, K.
- A) 449
- B) 452
- C) 480
- D) 559
- E) 582
Answer this question and see the worked solution