A 6-month European put option on a stock with a strike price $63 is selling for $2, the current stock price is $65, and the stock will pay a dividend of $0.51 in 3 months. The 3-month risk-free rate is 8% per annum with quarterly compounding, and the 6-month risk-free rate is 10% per annum with semiannual compounding. What is the price of a 6-month European call option on the stock with the same strike price?

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Treasury Market

On-the-run securities are the most recently issued securities in the market depth and are therefore traded at some premium. The off-the-run securities are the ones issued just before the most recent ones. The on-the-run securities have a lower yield to the investor than the off-the-run securities.