tototie2018-12-31 11:26:16

eff is an arbitrage trader, and he wants to calculate the implied dividend yield on a stock while looking at the over-the-counter price of a 5-year put and call (both European-style) on that same stock. He has the following data: *Initial stock price = USD 85 *Strike price = USD 90 *Continuous risk-free rate = 5% *Underlying stock volatility = unknown *Call price = USD 10 *Put price = USD 15 What is the continuous implied dividend yield of that stock? A 7.71% B 5.34% C 4.69% D 2.48% 为什么实在85上折现，不用90