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SPLT (current price $55) has 1- year call options with an exercise price of $55 trading at $4.92. The stock can increase by 20% or
SPLT (current price $55) has 1- year call options with an exercise price of $55 trading at $4.92. The stock can increase by 20% or decrease by 15% over the next year and the risk-free rate is 5%. Arbitrage profits are most likely:
a) possible by purchasing 100 calls and (short) selling 57 shares
b) possible by purchasing 57 shares and selling 100 cals c) not possible
c) not possible
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