In mid-february 2016 european-style options on the sp 100, Financial Management

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In mid-february 2016 european-style options on the sp 100

In mid-February 2016, European-style options on the S&P 100 index (OEX) expiring in December 2017 were priced as follows:

Dec 2017 OEX Index Options

Strike Price Call Price Put Price

840 ........................ 88.00 .........................

860 ........................ 76.30 ................. 102.21

880 ..................................................111.56

Given an interest rate of 0.40% for a December 2017 maturity (22 months in the future), use put-call parity (with dividends) to determine:

a. The price of a December 2017 OEX put option with a strike price of 840.

b. The price of a December 2017 OEX call option with a strike price of 880?

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Financial Management: In mid-february 2016 european-style options on the sp 100

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