Question
Price(non-dividend-stock) = 100 dollars Risk free rate = 5 % 1 year european call option (strike = 100 * e^(0,05*1), and the premium is 11,93)
Price(non-dividend-stock) = 100 dollars
Risk free rate = 5 %
1 year european call option (strike = 100 * e^(0,05*1), and the premium is 11,93)
A 1,5 year european = strike price = 100 * e^(0,05*1,5) and the premium is 11,5)
Show the arbitrage.
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Derivatives Markets
Authors: Rober L. Macdonald
4th edition
321543084, 978-0321543080
