题目
Jeff 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?
选项
A.2.48%
B.4.69%
C.5.34%
D.7.71%
答案
C
解析
We can use the Put-Call parity here to easily solve for the continuous dividend yield. We have「huixue_img/importSubject/1564169526814314496.png」 , Solving for q, we get 5.34%.