Solved

A European Call Option on a Stock Has an Exercise

Question 35

Multiple Choice

A European call option on a stock has an exercise price of $50, is selling for $6.50, and has 3 months to expiration. The stock itself is currently selling for $53.38. The annualized risk-free
Rate is 3%. If the call option is fairly priced, what is the fair price of a European put option on
This stock that has the same strike price and time to expiration?


A) $1.66
B) $2.75
C) $11.34
D) $10.25

Correct Answer:

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