Question
Best buy options with maturity on September 18, 2020 are trading with a strike of $120 (present value $119.50). The current stock price is
Best buy options with maturity on September 18, 2020 are trading with a strike of $120 (present value $119.50). The current stock price is $110, call options are trading at $1.20 and put options at $9.50. Can you find an arbitrage opportunity?
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Step: 1
To determine if there is an arbitrage opportunity we need to compare the cost of a synthetic long position combining a long call option and a short pu...Get Instant Access to Expert-Tailored Solutions
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Step: 2
Step: 3
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Fundamentals of Futures and Options Markets
Authors: John C. Hull
8th edition
978-1292155036, 1292155035, 132993341, 978-0132993340
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