Consider the following table of Call prices for an asset with So = 82 and no...
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Consider the following table of Call prices for an asset with So = 82 and no dividends: Strike Premium 80 10 4 2 90 95 a) Using the above information ONLY, find the best no-arbitrage bounds on the Call premium with strike K = 92. You should specify both the lower bound C and upper bound C: C<C(92) < Č. b) You're told that the premium for a Put with strike K = 90 is $9. Using this information, find the premium for a Put with strike K = 80 (hint: use put-call parity at K = 90 to find out e-T; then use put-call parity at K = 80). Consider the following table of Call prices for an asset with So = 82 and no dividends: Strike Premium 80 10 4 2 90 95 a) Using the above information ONLY, find the best no-arbitrage bounds on the Call premium with strike K = 92. You should specify both the lower bound C and upper bound C: C<C(92) < Č. b) You're told that the premium for a Put with strike K = 90 is $9. Using this information, find the premium for a Put with strike K = 80 (hint: use put-call parity at K = 90 to find out e-T; then use put-call parity at K = 80).
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a Lets calculate the lower bound and upper bound on the Call premium with strike K 92 using putcall ... View the full answer
Related Book For
Introduction to Operations Research
ISBN: 978-1259162985
10th edition
Authors: Frederick S. Hillier, Gerald J. Lieberman
Posted Date:
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