Option Replication Using Put-Call Parity sample question
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CFA Level I sample question
CFA Level I Option Replication Using Put-Call Parity question
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Option Replication Using Put-Call Parity
A non-dividend-paying stock trades at USD 48.00. A one-year European put option on the stock with an exercise price of USD 50.00 trades at USD 2.75, and the annual risk-free rate is 4.00%. Using put-call parity, the no-arbitrage price of the one-year European call option with the same exercise price is closest to:
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