Question
Two European put options written on the same stock with the same time to maturity of one year are trading at p 1 = $5.5,
Two European put options written on the same stock with the same time to maturity of one year are trading at p1 = $5.5, p2 = $0.7. The corresponding exercise prices are K1 = $30 and K2 = $25. The riskfree interest rate is 10% per annual. Is there an arbitrage opportunity? How to take advantage of it?
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Corporate Finance Investment And Advisory Applications
Authors: Jesse McDougall, Patrick Boyle
1st Edition
1530116597, 9781530116591
