What is the value of a 3-month put with a strike price of $45 given the Black-Scholes option pricing model and the following information? $$\begin{array} { l l }
\text { Stock price } & \$ 52.90 \
\text { Risk-free rate } & 4.5 \text { percent } \
\text { 3-month } 45 \text { call } & \$ 9.31
\end{array}$$
A)$0.57
B)$0.63
C)$0.91
D)$1.36
E)$1.54

Question

What is the value of a 3-month put with a strike price of $45 given the Black-Scholes option pricing model and the following information? $$\begin{array} { l l } 
\text { Stock price } & \$ 52.90 \
\text { Risk-free rate } & 4.5 \text { percent } \
\text { 3-month } 45 \text { call } & \$ 9.31
\end{array}$$
A)$0.57
B)$0.63
C)$0.91
D)$1.36
E)$1.54

Quizplus · Accepted Answer

P = ($45 × 2.71828^-0.045 ^{× .25}) + $9.31 - $52.90 = $0.91

What Is the Value of a 3-Month Put with a Strike