A european call with a maturity of 6 months and exercise


Question: A European call with a maturity of 6 months and exercise price X = 80 is written on a stock whose current price is 85 is selling for $12.00; a European put written on the same stock with the same maturity and with the same exercise price is selling for $5.00. If the annual interest rate (continuously compounded) is 10%, construct an arbitrage from this situation.

Request for Solution File

Ask an Expert for Answer!!
Finance Basics: A european call with a maturity of 6 months and exercise
Reference No:- TGS02249364

Expected delivery within 24 Hours