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(i) Suppose that c=3 T=0.5 K=16 So=18 r=5% D=0 Is there an arbitrate opportunity for the European call c? State your reason. (ii) Suppose
(i) Suppose that c=3 T=0.5 K=16 So=18 r=5% D=0 Is there an arbitrate opportunity for the European call c? State your reason. (ii) Suppose that p=2.5 T = 1 K=43 So=40 r=10% D=0 Is there an arbitrate opportunity for the European put p? State your reason.
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Derivatives Markets
Authors: Rober L. Macdonald
4th edition
321543084, 978-0321543080
