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Suppose you observe a call option with a price of $2 and a strike of $10 for a share presently trading at $10.79. A put
Suppose you observe a call option with a price of $2 and a strike of $10 for a share presently trading at $10.79. A put on the same stock with a strike of $10 is trading for $0.99. Both options have exactly 6 months to maturity. What must be the annual risk-free rate to ensure no arbitrage exists?
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The annual risk free rate must be equal to the difference between the ...
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Fundamentals of corporate finance
Authors: Robert Parrino, David S. Kidwell, Thomas W. Bates
2nd Edition
978-0470933268, 470933267, 470876441, 978-0470876442
