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The following option prices were observed for a stock on July 6 of a particular year. The stock is priced at 165.20. The expirations are
The following option prices were observed for a stock on July 6 of a particular year. The stock is priced at 165.20. The expirations are July 17, August 21, and October 16. The risk-free rates are 0.0518, 0.0580, and 0.0548, respectively. Check the following combinations of puts and calls and determine whether they conform to the put-call parity rule for European options. If you see any violations, suggest a strategy. a. July 155 b. August 160 c. October 170 CALLS STRIKE PUTS AUGUST AUGUST OCT JUL 12.92 OCT 3.38 14.51 17.22 1.54 155 160 165 JUL 0.25 0.92 2.89 7.38 9.96 13.65 9.96 3.38 5.78 5.54 8.24 6.40 3.32 0.98 170 3.94 7.38 7.13 9.23 11.07
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