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Denote the prices for call and put options with strike price X and maturity T as Vc and Vp . Denote the price for the
Denote the prices for call and put options with strike price X and maturity T as Vc and Vp
Denote the price for the future matured at T as Vf
Consider the following two strategies:
: Long a call and short a put:
Initial payoff: VpVc At maturity: STX
: Short a future: At maturity: VfST
Derive the relationship between Vp Vc and Vf to avoid arbitrage
Please complete the report writing of the following two questions based on the strategy description in the question.
According to the strategy in the question, please deduce the relationship between Vp Vc and Vf to avoid arbitrage
If it is an arbitrage situation, then the call&put needs to be bought or sold at the ask or bid price respectively for arbitrage to occur?
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