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The following option prices were observed for a stock on July 6 of a particular year. Use this information to solve problems 11 through 16.
The following option prices were observed for a stock on July 6 of a particular year. Use this information to solve problems 11 through 16. Unless otherwise indicated, ignore dividends on the stock. The stock is priced at 165.13. The expirations are July 17, August 21, and October 16. The risk-free rates are 0.0516, 0.0550, and 0.0588, respectively CALLS PUTS STRIKE JUL AUG OCT JUL AUG OCT 155 160 165 170 10.50 11.80 14.00 0.20 1.25 2.75 6.00 8.10 11.10 0.75 2.75 4.50 2.70 5.20 8.10 2.35 4.70 6.70 0.80 3.20 6.00 5.80 7.50 9.00 Assume that all options above are European. Check August 160 Call and Put. Construct the put- call parity to see if there exists an arhitrage opportunitv, Also, Put Call parity: Payoff Table Strategy t T Cash flow at t (Today) CX Net
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