(Properties of option pricesthe effect of time) The following options are traded on WOW Corporations stock on September 2015. State the property of option prices
(Properties of option prices—the effect of time) The following options are traded on WOW Corporation’s stock on September 2015. State the property of option prices that is violated and show that you can design a strategy to profit from this mispricing.
Exercise Expiration Option Price Date Price Call 40 1-Jan-2017 $13.50 Call 40 1-Jul-2017 $12.95
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In options pricing one fundamental property is that for a given exercise or strike price a longerdat... View full answer
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Authors: Simon Benninga, Tal Mofkadi
3rd Edition
0190296380, 9780190296384
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