Question
Suppose you are given the following data: 2-month option on XYZ stock: Underlying S = 118.49 Strike X = 120 Put price = $2.1 A.
Suppose you are given the following data:
2-month option on XYZ stock:
Underlying S = 118.49
Strike X = 120
Put price = $2.1
A. What should be the price of call to prevent arbitrage if 2-month interest rate is 6% p.a.?
B. If the actual call price was $1.0, how would you implement an arbitrage opportunity?
C. Compute your payoff at maturity.
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Impact Investing Instruments Mechanisms And Actors
Authors: Wolfgang Spiess-Knafl Barbara Scheck
1st Edition
3319665553,3319665561
