Suppose you read in the news and see ABC trading at NT$45 per share. An ATM Call

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Suppose you read in the news and see ABC trading at NT$45 per share. An ATM Call on ABC with one month to expiration is trading at NT$5 each and an ATM Put on ABC with same expiration trading at NT$2 each. Assuming the risk-free rate is 1.3%, do you detect any arbitrage opportunities? If yes, please explain the actions you take to exploit the profit. (Ignore transactions costs and use continuous compounding)

Posted Date: May 18, 2024 09:12 AM

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Suppose you read in the news and see ABC trading at NT$45 per share. An ATM Call

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