Question
A three-month European call option on a non-dividend-paying stock is currently selling for $3. The stock price is $62, the strike price is $60, and
A three-month European call option on a non-dividend-paying stock is currently selling for $3. The stock price is $62, the strike price is $60, and the risk-free interest rate is 8% per annum (continuous compounding). What opportunities are there for an arbitrageur? (Explain the arbitrage strategy and the arbitrageurs profit in detail)
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Introductory Course On Financial Mathematics
Authors: M V Tretyakov
1st Edition
1908977388, 978-1908977380
