题目
An index currently stands at 1,500. European call and put options with a strike price of 1,400 and time to maturity of six months have market prices of 154.00 and 34.25, respectively. The six-month risk-free rate is 5%. What is the implied dividend yield?
选项
A.2.01%
B.1.99%
C.2.05%
D.1.96%
答案
B
解析
The implied dividend yield is the value of q that satisfies the put - call parity equation.It is the value of q that solves.「huixue_img/importSubject/1564169528500424704.png」This is q = 1.99%.