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Consider a european call option and a european put option

Question: Consider a European call option and a European put option on a nondividend-paying stock. You are given:

(i) The current price of the stock is 60.

(ii) The call option currently sells for 0.15 more than the put option.

(iii) Both the call option and put option will expire in 4 years.

(iv) Both the call option and put option have a strike price of 70.

Calculate the continuously compounded risk-free interest rate.

(A) 0.039

(B) 0.049

(D) 0.069

(E) 0.079

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Finance Basics: Consider a european call option and a european put option

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