Question
3. Mazzi Corp. shares are currently trading at RM14.00 each. A three-month put option on this share is priced RM0.50 at a strike price of
3. Mazzi Corp. shares are currently trading at RM14.00 each. A three-month put option on this share is priced RM0.50 at a strike price of RM15.00. The risk free interest is 10% per annum for all maturities. Observing this data, identify and calculate what are the arbitrage opportunities available. (10 marks)
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Private Equity Mathematics
Authors: Oliver Gottschalg
1st Edition
1908783508, 9781908783509
