Question
The bid and ask prices for 9 months ATM European options on an underlying asset paying 1% dividends continuously with spot price $60 are Cbid
The bid and ask prices for 9 months ATM European options on an underlying asset paying 1% dividends continuously with spot price $60 are
Cbid = 6; Cask = 6.5;
Pbid = 5.5; Pask = 6.
Assume you can deposit and borrow money at 2.98% and at 3.01% respectively. Is there an arbitrage opportunity present, and, if so, how would you take advantage of it?
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Option Volatility And Pricing Advanced Trading Strategies And Techniques
Authors: Sheldon Natenberg
2nd Edition
0071818774, 978-0071818773
