Question
You are currently looking at a put and call option on Phoenix Ltd with the same exercise price. Considering the information provided below, is there
You are currently looking at a put and call option on Phoenix Ltd with the same exercise price. Considering the information provided below, is there an arbitrage opportunity and how would you take advantage of it?
| Phoenix Price | Exercise price | Risk free rate | Div Yield | Time | Call premium | Put premium |
| US$105 | US$97 | 8% | 5% | 2 Months | US$10,99 | US$2,77 |
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Risk Management And Financial Institution
Authors: John C. Hull
2nd Edition
0136102956, 9780136102953
