Feedback for The recent skirmish between China and Taiwan has increased the sensitive of the semi-conductormarket. To benefit from the situation, a Taiwanese company has issues an option with neon asunderlying (neon is a major ingredient in producing semi-conductor). The market estimates furthervolatility in the situation therefore the strike price for the option is $100 per KG while the currenttrading price is $60 per KG. The continuously compounded risk-free rate of return is 5% while theoption matures in 6 months’ time. If its given that the value of call on this option is $15, What is thevalue of put option?

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Location: Section Test 3 of FMP Derivatives Advanced Set 1

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