Question
A four-month European put option on a dividend-paying stock is currently selling for $5. The stock price is $64, the strike price is $60, and
A four-month European put option on a dividend-paying stock is currently selling for $5. The stock price is $64, the strike price is $60, and a dividend of $0.80 is expected in one month. The risk-free interest rate is 12% per annum for all maturities. What opportunities are there for an arbitrageur?
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The New Market Wizards Conversations With Americas Top Traders
Authors: Jack D. Schwager
1st Edition
0887306675, 978-0887306679
