Question
1. Arbitrage Using Put and Call A non-dividend-paying stock currently sells for $200. The price of a three-year European call option on this stock with
1. Arbitrage Using Put and Call
A non-dividend-paying stock currently sells for $200. The price of a three-year European call option on this stock with a strike price of $190 is $21. The risk-free rate is 1% per annum. The price of a European put option with the same expiration and the same strike price as the above call is $3. Is there an arbitrage? If so, find the arbitrage strategy and its cash flows.
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Real Estate Finance
Authors: John P. Wiedemer
8th Edition
0324142900, 9780324142907
