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.
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
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