Given the following data, construct an arbitrage strategy: S = 100, K = 95, T = 1/2
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Given the following data, construct an arbitrage strategy: S = 100, K = 95, T = 1/2 year, D = 3 in three months, r = 0.05, and CE = 4.
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To construct an arbitrage strategy we can use the putcall parity equation C P S K erT Where C ...View the full answer
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