You are working at a European option trading desk. The following data is presented to you...
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You are working at a European option trading desk. The following data is presented to you on a screen. Is arbitrage possible and if so, what trades would you do to take advantage of it? If arbitrage is possible how much would you make at expiration? STcpK 600.25 5 3 60 r (based on continuous compounding) 3% You are working at a European option trading desk. The following data is presented to you on a screen. Is arbitrage possible and if so, what trades would you do to take advantage of it? If arbitrage is possible how much would you make at expiration? STcpK 600.25 5 3 60 r (based on continuous compounding) 3%
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In order to determine whether arbitrage is possible or not we need to calculate the theoretical valu... View the full answer
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