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Assume all rates are continuous and per annum. Suppose that the current price of an asset is $32.20. The risk-free rate is 4.5%. The 36
Assume all rates are continuous and per annum. Suppose that the current price of an asset is $32.20. The risk-free rate is 4.5%. The 36 month European call on the asset with strike $34.00 is $24.50. The price of a 36 month European put with strike $34.00 is $28.05. The asset is expected to pay a dividend of $7.15 halfway between now and the option expiration date. The asset also has an up-front (pay now) storage cost of $5.95 What is the risk-free profit (in today's dollars) of a trade involving one call and one put? Assume all rates are continuous and per annum. Suppose that the current price of an asset is $32.20. The risk-free rate is 4.5%. The 36 month European call on the asset with strike $34.00 is $24.50. The price of a 36 month European put with strike $34.00 is $28.05. The asset is expected to pay a dividend of $7.15 halfway between now and the option expiration date. The asset also has an up-front (pay now) storage cost of $5.95 What is the risk-free profit (in today's dollars) of a trade involving one call and one put
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