Question
Find the 2 different arbitrage opportunities in this table. Explain why these are arbitrage opportunities. Explain (no need for a table) how to capture the
Find the 2 different arbitrage opportunities in this table. Explain why these are arbitrage opportunities. Explain (no need for a table) how to capture the profit on these opportunities.
|
| Premiums |
|
| |
| Exercise Price | Calls | Puts | T | risk free rate |
| 150 | 5.5799 | 2.8909 | 0.0822 | 5.00% |
| 155 | 3.4278 | 5.0017 | 0.0822 | 5.00% |
| 160 | 1.2445 | 10.1298 | 0.0822 | 5.00% |
| Stock price | 155 | American Options | ||
Explain how to create a short synthetic put. You must prove your answer.
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Social Finance Shadow Banking During The Global Financial Crisis
Authors: Neil Shenai
1st Edition
3030082318, 978-3030082314
