Question
A stock currently sells for $32. A 6-month call option with a strike price of $35 has a price of $2.27. Assuming a 4% continuously
A stock currently sells for $32. A 6-month call option with a strike price of $35 has a price of $2.27. Assuming a 4% continuously compounded risk-free rate and a 6% continuous dividend yield, the price of the associated put option is $5.53.
What are the arbitrage opportunities if the price of the put option was $5?
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Financial Modeling
Authors: Simon Benninga
4th Edition
0262027283, 9780262027281
