Question
On a certain day, a stock index was at 500. The call option with X=400 and T= 1 year is priced at 132.31. The put
On a certain day, a stock index was at 500. The call option with X=400 and T= 1 year is priced at 132.31. The put option with the same X and T is priced at 12.80. Find the arbitrage-free price of futures contract written on the same index with the same maturity date. Assume no dividends and 5% interest rate.
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International Finance Transactions Policy And Regulation
Authors: Hal Scott, Anna Gelpern
21st Edition
1634602048, 978-1634602044
