50.1K

Verified Solution

Link Copied!

QUESTION 12 Put Call Parity In early April 2021, ANZ is trading at $28.82. The $25 call option that expires in 254 days is trading at a premium of $10.38 and the put option of the same series is trading at $6.34. These prices seem odd to you and you suspect that an arbitrage opportunity exists. You note the continuously compounded risk free rate is 1.2459%. What trade do you place and what is your expected profit from this trade? a. No trade and no profit as no arbitrage opportunity exists b. Buy the put in the market and sell the synthetic put for a profit of $0.02 C. Buy the synthetic call and sell the call in the market for a profit of $0.02 d. Buy the call in the market and sell the sythetic put for a profit of $0.22 QUESTION 13 Black Scholes Merton option pricing In early April 2021, Macquarie Group is trading at $156.25. Macquarie Group has a volatility of 42%. What is the price of the 213 day put and call options over this stock that have a strike price of $155, when the risk free rate is 2.4985%? Note: Depending upon the methodology used to calculate the variables in the option pricing formula, students may obtain answers that are within a few cents of the answers provided. Students are advised to select the reponse that most closely matches their values for the options a. Put price is $18.00 and the call price is $21.50 b. Put price is $22.21 and the call price is $21.40 c. Put price is $21.40 and the call price is $18.21 d. Put price is $18.78 and the call price is $25.09

Answer & Explanation Solved by verified expert

See Answer