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Using the call-put parity , compute the value of a 9-month European put on a stock with current price of US$ 25 and strike price
- Using the call-put parity, compute the value of a 9-month European put on a stock with current price of US$ 25 and strike price of US$ 27, where the value of an European call on the same stock and with the same strike price is US$ 2.5 and the rf equals 10% annual.
Based on your previous answer, if the market price of the put is US$ 2.35, identify the existence of an arbitrage opportunity and explain how you can profit from it.
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To compute the value of the European put using the callput parity we use the formula Put Call Presen...
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Introduction To Stochastic Finance With Market Examples
Authors: Nicolas Privault
2nd Edition
1032288272, 9781032288277
