The following table contains premiums for European call options for a given stock, each of which...
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The following table contains premiums for European call options for a given stock, each of which has an expiration time of 6 months. Find an arbitrage opportunity from this data and construct a portfolio that will extract the arbitrage. Then calculate the minimum profit that your strategy will generate. The risk-free rate is r = 0.08 and the stock's continuous dividend rate is 8 = 0.02. Strike 80 100 110 Premium 38 32 28 The following table contains premiums for European call options for a given stock, each of which has an expiration time of 6 months. Find an arbitrage opportunity from this data and construct a portfolio that will extract the arbitrage. Then calculate the minimum profit that your strategy will generate. The risk-free rate is r = 0.08 and the stock's continuous dividend rate is 8 = 0.02. Strike 80 100 110 Premium 38 32 28
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