NO.PZ2018122701000087
问题如下：
The market price of a European call is $3.00 and its Black-Scholes price is $3.50.The Black-Scholes price of a European put option with the same strike price and time to maturity is $2.00.What should the market price of this put option be?
选项：
A.$1.50
B.$2.00
C.$1.00
D.$0.50
解释：
A is correct.
考点: Volatility Smile
解析：Based on the put-call parity, and
And Cbs =$3.50, Cmkt =$3.00, Pbs =$2.00, so Pmkt =$1.50
The market price of a European call is $3.00 and its Black-Scholes price is $3.50.The Black-Scholes price of a European put option with the same strike price and time to maturity is $2.00.What should the market price of this put option be?
C+K = P + S，K是option的折现，S是stock的折现。题目里面能清晰的判断出C = 3， K = 2, S = 3.5, 所以P = 1.5 我想确认下所以Black-Scholes price在这里就是指的stock的折现价格对吧。
