Question
Let S 0 denote the spot price of a stock, which after one-time step T will be either S 0 u or S 0 d
Let S0 denote the spot price of a stock, which after one-time step T will be either S0u or S0d with u > d. Let r be the risk-free rate. Suppose d > erT. Construct an arbitrage opportunity involving one share of stock and some cash. What is the minimum guaranteed profit of this strategy?
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Fraud Risk Assessment Building A Fraud Audit Program
Authors: Leonard W. Vona
1st Edition
047012945X, 978-0470129456
