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Suppose you look in the news and see AMZN trading at NT$1870 per share. A ATM Call on AMZN with three months to expiration trading
Suppose you look in the news and see AMZN trading at NT$1870 per share. A ATM Call on AMZN with three months to expiration trading at NT$25 each and a ATM Put on AMZN with three months to expiration trading at NT$13 each. Assuming the risk-free rate is 2%, do you detect any arbitrage opportunities? If it has opportunities, please explain your actions in detail and compute the profit. (Ignore transactions costs and use continuous compounding)
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