Question
What is the arbitrage portfolio you would create if shares of Facebook are trading at $273.61, the company does not pay any dividends. Strike price
What is the arbitrage portfolio you would create if shares of Facebook are trading at $273.61, the company does not pay any dividends. Strike price is $310 and American Puts with an expiration of March 19, 2020 are trading at $50.85 (so T = 5/12). American Calls are trading at $17.85 with the same expiration. Appropriate LIBOR is 0.92%. Show via a table how you would capture arbitrage profit.
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Financial Markets And Institutions
Authors: Frederic S. Mishkin, Stanley Eakins
6th Edition
0321374215, 9780321374219
