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
Posted: Sat Nov 27, 2021 5:17 pm
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.
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.