Question
Assume that the CCIR is 4%. The spot price of the underlying assets for each option below is $15. a. A Put option with expiration
Assume that the CCIR is 4%. The spot price of the underlying assets for each option below is $15. a. A Put option with expiration in 12 months from now and strike price $5 (per share) is currently trading at $4.9. Is there a mispricing. If so, specify how you would exploit it.
b. A Put option with expiration in 12 months from now and strike price $5 (per share) is currently trading at $0. Is there a mispricing. If so, specify how you would exploit it.
c. A Call option with expiration in 12 months from now and strike price $5 (per share) is currently trading at $16. Is there a mispricing. If so, specify how you would exploit it.
d. A Call option with expiration in 12 months from now and strike price $5 (per share) is currently trading at $0. Is there a mispricing. If so, specify how you would exploit it.
e. A Call option with expiration in 12 months from now and strike price $5 (per share) is currently trading at $2 and a put option with expiration in 12 months from now and strike price $5 (per share) is currently trading at $4. Is there a mispricing? If so, specify how you would exploit it.
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Financial Markets And Institutions
Authors: Jeff Madura
8th Edition
0324568215, 978-0324568219
