Explain what arbitrageurs would do if the price of an American S&P 500 futures call with an
Question:
Explain what arbitrageurs would do if the price of an American S\&P 500 futures call with an exercise price of 2,100 were priced at 45 when the underlying futures price was trading at 2,150. What impact would their actions have in the futures option market on the call's price?
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Arbitrageurs in this scenario would exploit the potential arbitrage opportunity arising from the mispricing of the American SP 500 futures call option ...View the full answer
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Ehsan Mahmood
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