Investing.com traders want to have optimal trading strategy. They hire you to develop it. You are provided
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Investing.com traders want to have optimal trading strategy. They hire you to develop it. You are provided by investing.com with this information concerning the stock denoted by St. Current Value — $108, Annual Volatility = 32%. In this scenario the market spot rate is 5% for next three months. Furthermore investing.com consider that dynamic of this stock is compatible with binomial process with assumption of I month.
Suppose Market price of this call option under current settings $5. Develop the arbitrage portfolio of it. How would you form arbitrage portfolio?
Related Book For
An Introduction to the Mathematics of Financial Derivatives
ISBN: 978-0123846822
3rd edition
Authors: Ali Hirsa, Salih N. Neftci
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