Your company wants to invest its cash surplus of $1m. in a Treasury bill for a...

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Your company wants to invest its cash surplus of $1m. in a Treasury bill for a period of 6 months. The T-bill rate is 5.5% p.a. continuous compounding. The company's treasurer, has asked you to explore the possibility of creating a synthetic lending transaction by a portfolio of options and stocks. You observed the following information: Security 6-month European call whose exercise price = $32 6-month European put whose exercise price = $32 the underlying (non-dividend-paying) stock Price $2.10 $2.92 $30 Based on the above observations, will your company be better off with the T-bill or the synthetic lending? If the synthetic lending is better, please also show how it can be created. Your company wants to invest its cash surplus of $1m. in a Treasury bill for a period of 6 months. The T-bill rate is 5.5% p.a. continuous compounding. The company's treasurer, has asked you to explore the possibility of creating a synthetic lending transaction by a portfolio of options and stocks. You observed the following information: Security 6-month European call whose exercise price = $32 6-month European put whose exercise price = $32 the underlying (non-dividend-paying) stock Price $2.10 $2.92 $30 Based on the above observations, will your company be better off with the T-bill or the synthetic lending? If the synthetic lending is better, please also show how it can be created.