Question
#1. USING THE GIVEN INFORMATION: K=$55, r=9.53%, S0 = $55, T=1yr, c=7, p=1 Is there an arbitrage strategy? If so, what is the correct strategy?
#1. USING THE GIVEN INFORMATION: K=$55, r=9.53%, S0 = $55, T=1yr, c=7, p=1
Is there an arbitrage strategy? If so, what is the correct strategy?
Draw out its relevant CF table as done in the lecture video What is its arbitrage profit?
use put-call parity relationship
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Financial Ratio Analysis
Authors: Andrew P.C.
1st Edition
1973493381, 978-1973493389
