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We consider a European right to sell to expire in 4 months. The right is written in a share that does not pay a dividend,
We consider a European right to sell to expire in 4 months. The right is written in a share that does not pay a dividend, the current price of which is 64 euros. It is given that the exercise price is 60 euros and the interest rate without risk is 12% (on an annual basis). Examine if there is an arbitrage opportunity and if there is to show in detail the steps required to achieve it.
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