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The value of a call option on a NAB share with an exercise price of $34.10 and 8 months to expiration is $4.50. Compute the value of a European put option on a NAB share with the same exercise price and expiration date if the current price of NAB shares in the market is $33.85 and annualised continuously compounded risk free rate is 1.4 percent.
the answer is $4.43. how to calculate it? Thanks?
Paper#9257034 | Written in 27-Jul-2016Price : $22