Question
A European call option and put option on a stock both have a strike price of $200 and an expiration date in six months. Both
A European call option and put option on a stock both have a strike price of $200 and an expiration date in six months. Both sell for $30. The risk-free interest rate is 10% per annum, the current stock price is $250, and a $50 dividend is expected in two months. What are the profits for an arbitrageur?
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Fundamentals of Investments Valuation and Management
Authors: Bradford D. Jordan, Thomas W. Miller
5th edition
978-007728329, 9780073382357, 0077283295, 73382353, 978-0077283292
