Question
A one year European put option and a one year European call option with a strike price of $59 are both priced at $5 in
A one year European put option and a one year European call option with a strike price of $59 are both priced at $5 in the market a one year futures price is currently traded at $58. The risk free rate is 7% per annum. Is there an arbitrage opportunity, if so, show the gain on the arbitrage.
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Commodity Option Pricing A Practitioner's Guide
Authors: Iain J. Clark
1st Edition
1119944511, 978-1119944515
