You observe a spot price of 626 and ATM Calls selling for 28 and ATM Puts...
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You observe a spot price of 626 and ATM Calls selling for 28 and ATM Puts selling for 16. What are the potential arbitrage profits if the discount rate is 10%? You observe a spot price of 626 and ATM Calls selling for 28 and ATM Puts selling for 16. What are the potential arbitrage profits if the discount rate is 10%?
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Answer rating: 100% (QA)
SOLUTION To determine whether there is an arbitrage opportunity and to calculate the potential profits we need to use the putcall parity formula C P S PVK Where C Price of the call option P Price of t... View the full answer
Related Book For
Advanced Accounting
ISBN: 978-0538480284
11th edition
Authors: Paul M. Fischer, William J. Tayler, Rita H. Cheng
Posted Date:
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