Put–call parity with a dividend
European options share strike and expiry year on a stock with spot . The continuously-compounded rate is . Unlike the textbook case, the stock pays a known cash dividend of $3 in exactly six months. Compute (call minus put price). (to 4 decimals)
Show hints (2)+
- Dividend-adjusted parity: .
- and .
Answer
Reveal answer →Final answer
1.9511 (± 0.01)
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Asked at: Jane Street, Citadel