Question
An April natural gas call option with a strike price of $2.10 is trading at $0.498; and a put with identical maturity and strike price
An April natural gas call option with a strike price of $2.10 is trading at $0.498; and a put with identical maturity and strike price is trading at $0.074. Given that you can essentially "synthesize" a long futures position with a long call - short put strategy, find the no-arbitrage price of the April futures contract.
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Fundamentals of Multinational Finance
Authors: Michael H. Moffett, Arthur I. Stonehill, David K. Eiteman
5th edition
205989756, 978-0205989751
