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The price of a European call that expires in six months and has a strike price...

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Advance Math

The price of a European call that expires in six monthsand has a strike price of $30 is $2. The underlying stock price is$29, and a dividend of $0.50 is expected in two months and again infive months. Risk-free interest rates (all maturities) are 10%.What is the price of a European put option that expires in sixmonths and has a strike price of $30?

The price of an American call on a non-dividend-payingstock is $4. The stock price is $31, the strike price is $30, andthe expiration date is in three months. The risk-free interest rateis 8%. Derive upper and lower bounds for the price of an Americanput on the same stock with the same strike price and expirationdate. What are the percentage changes in the values of the twoportfolios for a 5% per annum increase in yields?

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