SOA Exam FAM Sample Question 101
Study guide: Exam FAM
You are given:
(i) The Black-Scholes-Merton framework applies.
(ii) The prices of some 6-month European options on non-dividend paying Stock Y are:
| Strike Price | Price of Call Option | Price of Put Option |
|---|---|---|
| 525 | 55.92 | x |
| 550 | 45.46 | 64.57 |
The continuously compounded risk-free rate is 3.25%.
Calculate x.
- A) 50.03
- B) 50.43
- C) 50.83
- D) 51.03
- E) 51.23
Answer this question and see the worked solution