Consider a call option and a put option both written on Neunlay, Inc. stock. Both options have a strike price of $20 and expire in one year. The stock of Neunlay, Inc., is currently selling for $20. In one month the stock will be at either $24 or $18. Assume the risk-free rate is 0 percent. Which is worth more - the put option or the call option?

Question

Quizplus · Accepted Answer

Given the risk-free rate is 0 percent and the stock price can either go up or down by the same proportion, the expected values of the call and put options are symmetric around the current stock price of $20. Therefore, they have the same value.

Consider a Call Option and a Put Option Both Written