If the spot price of gold is $2000 per ounce, six month at-the-money European puts and calls are selling for $200 each a
Posted: Tue Jan 18, 2022 12:57 pm
If the spot price of gold is $2000 per ounce, six month
at-the-money European puts and calls are selling for $200 each and
the continuous compounding annualized riskless interest rate for
the next 6 months is 1.0 percent.
Q1. Are there any opportunities for arbitrage profits? If so,
what is the strategy?
Q2. Using the prices of the put and the call and the current
price of the underlying asset, what is the implied riskless
rate?
at-the-money European puts and calls are selling for $200 each and
the continuous compounding annualized riskless interest rate for
the next 6 months is 1.0 percent.
Q1. Are there any opportunities for arbitrage profits? If so,
what is the strategy?
Q2. Using the prices of the put and the call and the current
price of the underlying asset, what is the implied riskless
rate?