What would happen in the options market if the price of an American call were less than

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What would happen in the options market if the price of an American call were less than the value Max(0, S0 - X)? Would your answer differ if the option were European? Explain.

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Introduction To Derivatives And Risk Management

ISBN: 9781305104969

10th Edition

Authors: Don M. Chance, Robert Brooks

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Question Posted: Apr 07, 2016 08:31 AM

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What would happen in the options market if the price of an American call were less than

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This would create an arbitrage opportunity The call would be purchased and immediately exercised For ...View the full answer

Introduction To Derivatives And Risk Management

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