Question
Suppose a one month call on firm A with strike 95$ is trading at 10$, the similar put with strike 95$ is trading at 7$,
Suppose a one month call on firm A with strike 95$ is trading at 10$, the similar put with strike 95$ is trading at 7$, the risk-free monthly horizon interest rate is 3%, and the stock is trading at 95$.
How can we create an arbitrage strategy?
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Multinational Business Finance
Authors: David K. Eiteman, Arthur I. Stonehill, Michael H. Moffett
10th Edition
0201785676, 9780201785678
