Suppose that we have the following 4 European call and put options with the same maturity time T in the financial market Type Strike Price Price Call 100 45 Call 110 40 Put 100 36 Put 110 42 Suppose that the continuous compounding interest rate r 0 05 in the market and the maturity time T 1 Can you choose a portfolio using some of the options from the table and the Bank account to nd an Arbitrage portfolio If yes, be specic about your Arbitrage portfolio If no, prove your argument (Hint consider the put call parity ) Suppose that we have the following 4 European call and put options with the same maturity time T in the financial market Type Strike Price Price 100 110 100 110 Call Call Put 45 40 36 42 Suppose that the continuous compounding interest rate T 0 05 in the market and the maturity time T 1 Can you choose a portfolio using some of the options from the table and the Bank account to find an Arbitrage profit If yes, be specific about your Arbitrage portfolio If no, prove your argument (Hint consider the put call parity )

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Suppose that we have the following 4 European call and put options with the same maturity time T in the financial market: Type Strike Price

Suppose that we have the following 4 European call and put options with the same maturity time T in the financial market:

Type Strike Price Price

Call 100 45

Call 110 40

Put 100 36

Put 110 42

Suppose that the continuous compounding interest rate r = 0:05 in the market and the maturity time T = 1. Can you choose a portfolio using some of the options from the table and the Bank account to nd an Arbitrage portfolio ? If yes, be specic about your Arbitrage portfolio. If no, prove your argument. (Hint: consider the put-call parity.)

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Suppose that we have the following 4 European call and put options with the same maturity time T in the financial market: Type Strike Price Price 100 110 100 110 Call Call Put 45 40 36 42 Suppose that the continuous compounding interest rate T = 0.05 in the market and the maturity time T-1. Can you choose a portfolio using some of the options from the table and the Bank account to find an Arbitrage profit ? If yes, be specific about your Arbitrage portfolio. If no, prove your argument. (Hint: consider the put-call parity.)