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Q Execute an arbitrage strategy for the period of 16/3/2022 14/4/2022 The fair value of the call option is 2.50 on 16th/3/22, calculated with the

Q Execute an arbitrage strategy for the period of 16/3/2022 14/4/2022

The fair value of the call option is 2.50 on 16th/3/22, calculated with the help of the binomial pricing model, so the call is underpriced

The fair value of the put is 2.80 on 16/3/22, calculated with the help of the binomial pricing model, so the put is overpriced

Stock price on 16/3/22 is - $17.40

Stock price on 14/3/22 is - $21.61

The strike price given in the screenshot attached

Question - So how can I create an arbitrage strategy with only one mispriced option (either call or put) using put-call parity. Please help.

image text in transcribed

CALL AFMG MAR23 18 CALL AFMG MAR23 18-OPT STRIKE PRICE PUT AFMG MAR23 18 PUT AFMG MAR23 18-OPT STRIKE PRICE 16/3/22 14/4/22 2.30 4.74 18.00 18.00 3.88 2.08 18.00 18.00 CALL AFMG MAR23 18 CALL AFMG MAR23 18-OPT STRIKE PRICE PUT AFMG MAR23 18 PUT AFMG MAR23 18-OPT STRIKE PRICE 16/3/22 14/4/22 2.30 4.74 18.00 18.00 3.88 2.08 18.00 18.00

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