Today is t = 0. You are given the following data: The 6-month zero coupon bond

Question:

Today is t = 0. You are given the following data:
• The 6-month zero bond is priced at $98.24
• The 9-month zero bond is priced at $97.21
• Call option (European) on the 13 week Treasury bill with in 6-months and of $99.12 is priced at $0.2934
• Put option (European) on the 13 week Treasury bill with in 6-months and of $99.12 is priced at $0.1044
(a) Are the securities priced correctly?
(b) Assume that someone tells you that she is 100% sure that the call option is priced correctly. Can you design a strategy to take advantage of the arbitrage opportunity, if there is one?
Strike Price
In finance, the strike price of an option is the fixed price at which the owner of the option can buy, or sell, the underlying security or commodity. Coupon
A coupon or coupon payment is the annual interest rate paid on a bond, expressed as a percentage of the face value and paid from issue date until maturity. Coupons are usually referred to in terms of the coupon rate (the sum of coupons paid in a... Maturity
Maturity is the date on which the life of a transaction or financial instrument ends, after which it must either be renewed, or it will cease to exist. The term is commonly used for deposits, foreign exchange spot, and forward transactions, interest...