GS Inc stock is selling for 28 a share A 3month call on GS s

GS, Inc. stock is selling for $28 a share. A 3-month call on GS stock with a strike price of $30 is priced at $1.50. Risk-free assets are currently returning 0.25 percent per month. What is the price of a 3-month put on GS stock with a strike price of $30?

Solution

Using Put-Call-Parity:

Put option price = Strike price/(1+per month risk free rate)^months + Call option - Stock price

Put option price = 30/(1+0.25%)^3 + 1.50 - 28

Put option price = $3.2761 or $3.28