A stock is currently selling for $26.50. A 2-month put option with a strike price of $30 has an option premium of $4.15. The risk-free rate is 2.5 percent and the market rate is 9.75 percent.
Required:
Question: What is the option premium on a 2-month call with a $30 strike price? Assume the options are European style.
- $0.77
- $0.67
- $0.41
- $0.33
- $0.00
Note: Provide support for your rationale.