Question
[Arbitrage strategy on the put-call parity] Suppose that PE = $4.00, S0 = $45, T = 6 months, r = 10%, and K = $49.
[Arbitrage strategy on the put-call parity] Suppose that PE = $4.00, S0 = $45, T = 6 months, r = 10%, and K = $49. Carefully explain an arbitrage strategy with the Put-Call Parity if Case A: CE = $3.50. Work with 10 options contracts and 1,000 shares of the underlying stocks for trade. Note that CE + Ke rT is for Portfolio A and PE + S0 is for Portfolio C.
CE = $3.50
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Sabotage The Business Of Finance
Authors: Ronen Palan
1st Edition
0141986247, 978-0141986241
