Question: another spread is butterfly spread 4.3. You are given the price of three different European puts on a stock S. The time to expiration of

another spread is butterfly spread 4.3. You are given the price

another spread is butterfly spread

4.3. You are given the price of three different European puts on a stock S. The time to expiration of the puts is 1 year, and the risk free interest rate is 8% compounded continuously. The prices of the puts follow. Strike Put Price 3.00 32 4.91 36 8.00 There are two arbitrage opportunities: one of them involves a bear spread, and the other involves another type of spread. Find both of the opportunities. 30 4.3. You are given the price of three different European puts on a stock S. The time to expiration of the puts is 1 year, and the risk free interest rate is 8% compounded continuously. The prices of the puts follow. Strike Put Price 3.00 32 4.91 36 8.00 There are two arbitrage opportunities: one of them involves a bear spread, and the other involves another type of spread. Find both of the opportunities. 30

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