Explain what arbitrageurs would do if the price of an American T-bill futures call with an exercise
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Explain what arbitrageurs would do if the price of an American T-bill futures call with an exercise price of $987,500 were priced at $900 when the underlying futures price was trading at $988,500. What impact would their actions have in the option market on the call’s price? Would arbitrageurs follow the same strategy if the call option were European? If not, why?
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