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Given information of : c=$6, K=$30, S=$50, r=5%, T=3months WHAT IS THE LOWER BOUND OF CALL? Is there an arbitrage strategy? If so, what is
Given information of : c=$6, K=$30, S=$50, r=5%, T=3months
- WHAT IS THE LOWER BOUND OF CALL? Is there an arbitrage strategy? If so, what is the arbitrage strategy And its relevant CF table? and the arbitrage profit?
#2. USING THE GIVEN INFORMATION: K=$55, r=9.53%, S0 = $55, T=1yr, c=7, p=1
- Is there an arbitrage strategy? If so, what is the correct strategy?
- And its relevant CF table? and its arbitrage profit?
- hint: use put-call parity relationship
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Essential Mathematics For Economic Analysis
Authors: Knut Sydsaeter, Peter Hammond
3rd Edition
0273713248, 9780273713241
