Given the call and put prices below Strike 55 60 65 Call premium 20 16 11.50 Put
Question:
Given the call and put prices below
Strike 55 60 65
Call premium 20 16 11.50
Put premium 9 12.75 16.45
a. What are convexity violations for the call and put premiums?
b. What spread you would you use to effect arbitrage?
c. Demonstrate that the spread position is an arbitrage.
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Md. Abdullah- Al Masum
I have completed my BBA and MBA degree from the Department of Management Studies of Comilla University in the year of 2010 and 20111 with CGPA 3.84 and 3.73 respectively. Then, I have joined as a Lecturer of Management at EXIM Bank Agricultural University in August 2014. Now I am working as a Senior Lecturer in the same organizations.
Besides, I am pursuing my M.Phil degree at Rajshahi University. During my whole career, I taught various courses in Management as well as Business related.
By this time, I have completed some non-credit courses from various institutions like the University of Michigan, University of London, Macquarie University, and so on.
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