Question 1 = 0) of the following European call/put We observe the prices (at time t...
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Question 1 = 0) of the following European call/put We observe the prices (at time t options on the market. Suppose that the interest rate r = 0, and the initial price of the underlying stock is So 100. Please construct a portfolio, using these options together with the cash (bank account), to find an arbitrage opportunity. = Option Type Strike Maturity Option Price at time t = 0 Put 90 2 6 Call 100 1 11 Put 110 2 14 Question 1 = 0) of the following European call/put We observe the prices (at time t options on the market. Suppose that the interest rate r = 0, and the initial price of the underlying stock is So 100. Please construct a portfolio, using these options together with the cash (bank account), to find an arbitrage opportunity. = Option Type Strike Maturity Option Price at time t = 0 Put 90 2 6 Call 100 1 11 Put 110 2 14
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