Question
A European call option and put option with strike prices of $20 and maturity 3 months both sell for $3.0. The risk free rate is
A European call option and put option with strike prices of $20 and maturity 3 months both sell for $3.0. The risk free rate is 10% continuously compounded, the stock price is $20. The stock pays no dividends. Identify the arbitrage opportunity.
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Day Trading Advanced Strategies
Authors: Andrew Pemberton
1st Edition
979-8682050369
