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Problem 1: Given information of : c=$6, K=$30,S=$50, r=5%, T=3months WHAT IS THE LOWER BOUND OF CALL? Is there an arbitrage strategy? If so, what
Problem 1:
Given information of : c=$6, K=$30,S=$50, r=5%, T=3months
- WHAT IS THE LOWER BOUND OF CALL? Is there an arbitrage strategy? If so, what is the arbitrage strategy And its relevant CF table?and the arbitrage profit?
#2.USING THE GIVEN INFORMATION:K=$55,r=9.53%,S0=$55,T=1yr,c=7,p=1
- Is there an arbitragestrategy? If so, what is the correct strategy?
- And its relevant CF table? and its arbitrage profit?
- hint: use put-call parity relationship
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Financial Modeling
Authors: Simon Benninga
2nd Edition
0262024829, 9780262024822
