Question
On September 1, Tata Steel shares are selling at INR 420. The standard deviation of the stock prices has been estimated as 14%. 2-months Call
On September 1, Tata Steel shares are selling at INR 420. The standard deviation of the stock prices has been estimated as 14%. 2-months Call and put options with an exercise price of INR 420 are priced at INR 15.75 and INR 7.80, respectively. Risk free rate is 6 p.a Examine and suggest the arbitrage opportunity using 2 steps Binomial Tree.
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Principles Of Food Beverage And Labor Cost Controls
Authors: Paul R. Dittmer, J. Desmond Keefe
8th Edition
0471429929, 978-0471429920
