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MFE/3F - Study guides, Class notes & Summaries
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Exam MFE/3F Sample Questions and Solutions
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185
August 2024
2024/2025
A+
. Consider a European call option and a European put option on a nondividend-paying
stock. You are given:
(i)
(ii)
(iii)
(iv)
The current price of the stock is 60.
The call option currently sells for 0.15 more than the put option.
Both the call option and put option will expire in 4 years.
Both the call option and put option have a strike price of 70.
Calculate the continuously compounded risk-free interest rate.
(A) 0.039
(B) 0.049
(C) 0.059
(D) 0.069
(E) 0.079
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