Arbitrage opportunity in option market using put-call parity


Suppose the yen is trading at ¥100/$, the Japanese interest rate is 2.5 percent, and the U.S. interest rate is 6 percent. A European call option at a strike of 100 with a two-month maturity is currently trading at 1.93 cents per 100 yen and the put option at the same strike and the same maturity trades at 2.00 cents per 100 yen. Determine whether there is an arbitrage opportunity in the option market, using the put-call parity.

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Microeconomics: Arbitrage opportunity in option market using put-call parity
Reference No:- TGS065782

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