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CFA Level I Option Replication Using Put-Call Parity question

Derivatives / Option Replication Using Put-Call Parity

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Option Replication Using Put-Call Parity sample question

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Derivatives

Option Replication Using Put-Call Parity

One-year European options on a non-dividend-paying asset share an exercise price of USD 100.00. The call trades at USD 6.20, the put trades at USD 3.05, and the annual risk-free rate is 3.00%. Using put-call forward parity, the one-year forward price of the asset implied by these option prices is closest to:

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