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Suppose the share price of a company is $90, the strike price is $94, the premium (price) of a six-month put option is $10 and
Suppose the share price of a company is $90, the strike price is $94, the premium (price) of a six-month put option is $10 and that of a call option is $3.50. The risk-free rate in the economy is 8% per annum. Describe the arbitrage opportunity - that is what do you buy, loan/borrow, and sell/write
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A Guide To Starting Your Hedge Fund
Authors: John Thompson, Erik Serrano Berntsen
1st Edition
0470519401, 978-0470519400
