Put Call Parity Question

[mathman]

The value of the Australian dollar is $0.6. The Rf is 5%pa in the US and 10% pa in Aus. The market price of a Euro call option on the Aus dollar with a maturity of 1 year and a strike price of $0.59 is $0.0236. Find the price p of a Euro put option with a strike price of $0.59 and maturity 1 year.

 

[ShaktiRathore]

we calculate risk free rate of USD w.r.t AUD(since price is given in USD)interest rate as r=r(USD)-r(AUD)=5%-10%=-5%
now put call parity,
p+S=c+X*exp(-rT)
p=c+X*exp(-rT)-S
p=0.0236+0.59*exp(-(-.05)*1)-.6
p=0.0236+0.59*exp(.05*1)-.6
p=0.0236+.6204-.6
p=.644-.6=$.044

thanks