(Mark Value = 3) 3. Consider a European put option on a stock index without dividends, with 6 months to expiration and a

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answerhappygod
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(Mark Value = 3) 3. Consider a European put option on a stock index without dividends, with 6 months to expiration and a

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(Mark Value = 3)
3. Consider a European put option on a stock index without
dividends, with 6 months to expiration and a strike price of 1,100.
Suppose that the annual nominal risk free rate is 4%, convertible
semi-annually, and that the put costs 164.20 today.
Calculate the price that the index must be in 6 months so that
being long in the put would produce the same profit as being short
in the put.
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