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Given: C = $ 2 . 5 0 , P = $ 4 . 9 9 , S = $ 2 6 . 8 4
Given: C $ P $ S $ K $ T months, r a a What would you do to exploit these quotes? List the transactions. b What would be your riskless arbitrage profit? c How could you synthetically lend money riskfree using only stock options and the purchase or sale of stock? d What is the implied interest rate on the synthetic loan in c Would you be better off lending at the month TBill rate of pa or synthetically lending using options?
Given: C $ P $ S $ K $ T months, r a
a What would you do to exploit these quotes? List the transactions.
b What would be your riskless arbitrage profit?
c How could you synthetically lend money riskfree using only stock options and the purchase or sale of stock?
d What is the implied interest rate on the synthetic loan in c Would you be better off lending at the month TBill rate of pa or synthetically lending using options?
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