A stock is selling at $40, a 3-month put at $50 is selling for $11, a 3-month

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A stock is selling at $40, a 3-month put at $50 is selling for $11, a 3-month call at $50 is selling for $1, and the risk-free rate is 6%. How much, if anything, can be made on an arbitrage today?

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Introduction To Derivatives And Risk Management

ISBN: 9781305104969

10th Edition

Authors: Don M. Chance, Robert Brooks

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Posted Date: Feb 23, 2024 10:51 PM

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A stock is selling at $40, a 3-month put at $50 is selling for $11, a 3-month

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Heres how to analyze the potential arbitrage opportunity 1 Identify the potential discrepancies Stoc... View the full answer

Introduction To Derivatives And Risk Management

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