26. Consider a put contract on a T-bond with an exer- cise price of 101 12/32. The...

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26. Consider a put contract on a T-bond with an exer- cise price of 101 12/32. The contract represents $100,000 of bond principal and has a premium of $750. The actual T-bond price is currently 100 1/32. How can you arbitrage this situation?

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Financial Markets and Institutions

ISBN: 978-0321280299

5th edition

Authors: Frederic S. Mishkin, Stanley G. Eakins

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