Question
A 4 month European put option on a dividend-paying stock is currently selling for $2. The Stock Price is $60, the Strike Price is $64,
A 4 month European put option on a dividend-paying stock is currently selling for $2. The Stock Price is $60, the Strike Price is $64, and a dividend of $0.80 is expected in 1 month. The risk-free interest rate is 12% per annum for all maturities. What opportunities are there for an arbitrageur?
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Financial Institutions Management A Risk Management Approach
Authors: Anthony Saunders, Marcia Cornett, Otgo Erhemjamts
10th Edition
1260013820, 978-1260013825
