An analyst has come across one period call option with an exercise price of Sh. 25. The
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Question:
An analyst has come across one period call option with an exercise price of Sh. 25. The risk free rates 7% and the current stock value is Sh. 25, and the size of the up move is 1.4. Suppose the option is also trading at Sh. 6.5 and the analyst trades 100 options.
Required:
Determine the appropriate arbitrage strategy.
Related Book For
Investment Analysis and Portfolio Management
ISBN: 978-0538482387
10th Edition
Authors: Frank K. Reilly, Keith C. Brown
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