Question
A European call and put on a non-dividend paying stock both have a strike price of $20 and 3 months until expiration. Both sell for
A European call and put on a non-dividend paying stock both have a strike price of $20 and 3 months until expiration. Both sell for $3. The risk-free rate is 10% and the current stock price is $19. How would you arbitrage this mispricing?
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The Euro A Challenge And Opportunity For Financial Markets Routledge International Studies In Money And Banking
Authors: Michael Artis , Elizabeth Hennessy, Axel Weber
1st Edition
0415217105, 978-0415217101
