Finance Assignment | Professional Writing
June 10th, 2020
In mid-July 2018, European-style options on the S&P 100 index (OEX) expiring in December 2019 were priced as follows: Dec 2019 OEX Index Options Strike Price Call Price Put Price 1260 81.40 1280 70.50 99.10 1300 108.85
Given an interest rate of 2.80% for a December 2019 maturity (17 months in the future), use put call parity (with dividends) to determine: a. The price of a December 2019 OEX put option with a strike price of 1260. b. The price of a December 2019 OEX call option with a strike price of 1300.
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