The futures price of gold is $1946.5. A put and a call on this gold futures contract,
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The futures price of gold is $1946.5. A put and a call on this gold futures contract, both struck at $1945 both sell for $10. The interest rate is 4 percent. The options both expire in 3 months, and both are European. Identify an arbitrage opportunity. Identify the trades to exploit this opportunity and the profit you will earn.
Related Book For
Fundamentals of Financial Management
ISBN: 978-1337395250
15th edition
Authors: Eugene F. Brigham, Joel F. Houston
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