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Problem ARB-10B This is a continuation of Problem ARB-10A from the class notes. Today is time 0. The following securities are given: Security XYZ stock
Problem ARB-10B This is a continuation of Problem ARB-10A from the class notes. Today is time 0. The following securities are given: Security XYZ stock European call on XYZ European put on XYZ A zero-coupon bond with $1 maturity value Strike Price Maturity Current price N/A N/A SO) $40 Time T c(0,T, 40) $40 Time T p(0,T, 40) N/A Time T B(0,T) In what follows we sometimes use abbreviated notations c(0), p(0) and B(0). It is given that the stock will not pay dividends before time T. (al) Complete the following table. Time-0 Position Time-0 Value (payoff) at expiration 40
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