A European call option and put option on a stock both have a strike price of $46 and an expiration date in 3 months are

Business, Finance, Economics, Accounting, Operations Management, Computer Science, Electrical Engineering, Mechanical Engineering, Civil Engineering, Chemical Engineering, Algebra, Precalculus, Statistics and Probabilty, Advanced Math, Physics, Chemistry, Biology, Nursing, Psychology, Certifications, Tests, Prep, and more.
Post Reply
answerhappygod
Site Admin
Posts: 899603
Joined: Mon Aug 02, 2021 8:13 am

A European call option and put option on a stock both have a strike price of $46 and an expiration date in 3 months are

Post by answerhappygod »

A European call option and put option on a stock both
have a strike price of $46 and an expiration date in 3 months are
sold at $3 and $2, respectively. The risk-free interest rate is 10%
per annum, the current stock price is $43, and a $1 dividend is
expected in 1 month. Identify the arbitrage opportunity open to a
trader.
Join a community of subject matter experts. Register for FREE to view solutions, replies, and use search function. Request answer by replying!
Top
Post Reply

Return to “Archived Questions & Answers”