First I have to apologize, I am in the school lab, no Chinese typing software is available to me. I have to type it up in English.
I find out this problem by coincidence. Would you like to post where the question comes from? Different texts use different pricing method.
Due to lacking of background information(question source), my intuition would explain it this way.
Let's assume the stock market it random which means the ups and downs have the same frequency; otherwise, give me some seconds to think about it.
And forget about the interest rate for a second. And lets say the stock price right now is also 30. (Sorry it sounds like not rephrasing the problem, but changing it.)
and then, the put option should have the same price like the call option; however, the disparity between two prices are huge (9 times). It seems the put option is undervalued.
Well give me more seconds, let me see whether I could work out some better explanation. Still like I suggested, it would help a lot if you post the source of the question.
Thank you~
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