Question: Question 11 . Put - Call Parity for Options on Futures ( 10 marks ) The spot price of corn is 301 40 cents per

Question 11 . Put - Call Parity for Options on Futures

Question 11 . Put - Call Parity for Options on Futures ( 10 marks ) The spot price of corn is 301 40 cents per bushel . The three- month futures price on corn is 316 2 cents per bushel . The two -month call option on this corn futures with an exercise price of 330 cents per bushel is priced at $3 . 50 . The two - month put option on this corn futures with an exercise price of 330 cents per bushel is priced at $12 70 . The continuously compounded risk - free rate is 2 3% . Construct a risk - free arbitrage strategy with positive cash flow at time O and zero cash flow at the option expiration time T . Show the time O and ime T cash flows in two separate tables

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