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Suppose you are given the following data: 2-month option on XYZ stock: Underlying S = 48.1 Strike X = 50 Put price = $2.2 What

Suppose you are given the following data:

2-month option on XYZ stock:

Underlying S = 48.1

Strike X = 50

Put price = $2.2

What should be the price of call to prevent arbitrage if 2-month interest rate is 6% p.a.?

If the actual call price was $1.3 how would you implement an arbitrage opportunity?

Compute your payoff at maturity.

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