The following table shows the market information of various European put options on a non-dividend paying...

 

 

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The following table shows the market information of various European put options on a non-dividend paying asset. Time to Strike price Market Price maturity Option A 9 months $42 3.59 Option B 3 months $45 5.5 Option C 9 months $48 6.21 It is also given that the annual riskfree interest rate is r = 4.395%. Question: Identify an arbitrage opportunity. The following table shows the market information of various European put options on a non-dividend paying asset. Time to Strike price Market Price maturity Option A 9 months $42 3.59 Option B 3 months $45 5.5 Option C 9 months $48 6.21 It is also given that the annual riskfree interest rate is r = 4.395%. Question: Identify an arbitrage opportunity.

Answer rating: 100% (QA)

To identify an arbitrage opportunity we need to check if there is a possibility to make riskfree pro... View the full answer