Assignment:
Use the DerivaGem software to calculate implied volatilities for the June 100 call and the June 100 put on the Dow Jones Industrial Average in Table 13.1. the value of the DJX on March 15, 2001, was 100.31. Assume the risk-free rate was 4.5%, the dividend yield was 2%. The options expire on June 16, 2001. Are the quotes for the two options consistence with put-call parity?