Question
A one-month European put option on a non-dividend-paying stock is selling for $2.50. The stock price is $47, the strike price is $50, and the
A one-month European put option on a non-dividend-paying stock is selling for $2.50. The stock price is $47, the strike price is $50, and the risk-free interest rate is 6 percent per annum with continuous compounding. Suggest an arbitrage strategy. Provide full details of the arbitrage transactions.
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Handbook Of Modeling High Frequency Data In Finance
Authors: Frederi G. Viens, Maria Cristina Mariani, Ionut Florescu
1st Edition
0470876883, 978-0470876886
