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Consider two “corresponding” options, consisting of a call and a put with the exact same parameter values. For this pair, the current price of the underlying asset is $81, the options have an exercise price of $95 and they expire in 10 months. Additionally, the risk-free rate is 6% p.a. What is the difference between the premium of the put option, P, and the premium of the call option, C; that is, what is the value of P – C? Write the answer with two decimals; e.g., 3.24. Do NOT use the $ symbol in your answer; just write a numerical value. Of course, include the negative sign if the answer is negative; but do not include the positive sign if the answer is positive. NOTE: Use the continuous time version of the Put-Call Parity equation (i.e., do NOT use the book’s version).
