. Stock AXY is trading at AUD 53 and pays no dividends. If six-month maturity European...
. Stock AXY is trading at AUD 53 and pays no dividends. If six-month maturity European call and put prices are equal when the strike price is AUD 60, what is the continuously compounded risk-free interest rate per annum?
Homework Answers
PV of exercise price = spot price when put price=call price
exercise price*e^(-risk free rate*time) = spot price
60*e^(-risk free rate*0.5) = 53
risk free rate = 10.77%
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