(PCP violation) Cisco (CSCO) stock sells for $25. The at-the-money CSCO April 24 call sells for $3.375...
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(PCP violation) Cisco (CSCO) stock sells for $25. The at-the-money CSCO April 24 call sells for $3.375 and the at-the-money CSCO April 24 put sells for $1.75. The call, the put, and a Treasury bill all mature in 4 months.
Today’s price for a Treasury bill which pays off $100 in 4 months is $99.92.
Assume that Cisco does not pay dividends during this period. Use the put–
call parity relation to find the arbitrage profit today, if it exists.
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