Consider the following security prices: Security Price 3-month European call whose exercise price = $25 $1.80 3-month European put whose exercise price = $25 $0.50
Consider the following security prices: Security Price 3-month European call whose exercise price = $25 $1.80 3-month European put whose exercise price = $25 $0.50 the underlying (non-dividend-paying) stock $26.45 3-month T-bill (face value = $100) $99.25 Is there an arbitrage opportunity? If so, how would take advantage of it?
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Authors: George H. Pink, Paula H. Song
8th Edition
1640551093, 978-1640551091
