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Question A.2 An underlying has a current price of $31. The premia on 3 month European put and call options on this underlying are $1

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Question A.2 An underlying has a current price of $31. The premia on 3 month European put and call options on this underlying are $1 and $3 respectively. Both options have a strike price of $30. If the continuously compounded interest rate is 10%, is there an arbitrage opportunity here and, if so, how would you exploit it? [Write no more than half of a page of A4] (6 marks)

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