European Put from Call

Quantitative Finance Level 2

ABC's stock is trading at $12.30. It offers no dividends. If the European call on the $11 strike is valued at $3.40, what is the European put on the $11 strike valued at?

Assume that interest rate is 0%.

$3.40 $4.70 $0.00 $2.10

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Calvin Lin by Calvin Lin

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1 solution

Caleb Townsend
Mar 4, 2015

Use the equation p u t = c a l l − p r i c e + s t r i k e put = call - price + strike since there is no interest. 3.4 − 12.3 + 11 = $ 2.10 3.4 - 12.3 + 11 = \boxed{\$2.10}

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