Question
A call and a put option on the same non-dividend-paying stock, with the same $40 strike price, and with the same 1-year expiration date sell
A call and a put option on the same non-dividend-paying stock, with the same $40 strike price, and with the same 1-year expiration date sell for $7.95 and $2.98 respectively. If the underlying stock price is $42, what is the no-arbitrage futures price for a one-year futures contract on the underlying stock?
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Investment Analysis and Portfolio Management
Authors: Frank K. Reilly, Keith C. Brown, Sanford J. Leeds
11th Edition
1305262999, 1305262997, 035726164X, 978-1305262997
