1.
Using put call parity
S+P=C+X/(1+r)^t
S+P=50+3.75=53.75
C+X/(1+r)^t=9+45/1.045^(115/365)=53.38023249
There is arbitrgae profit and whoever invest will gain a lot
2.
For any type of option startegy, the payoff will be never
negative
19. A call option has X-$45 and expire in 115 days. The risk-free rate is 4.5...
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16. A call option has X-$45 and expire in 115 days. The risk-free rate is 4.5%. The call is priced at $9.00. A put option has X-$45 and is priced at $3.75. The underlying asset is priced at $50. Which of the following statement is correct? A. There is no arbitrage opportunity B. There is arbitrage loss and whoever invest will lose a lot C. There is arbitrage profit and whoever invest will gain a lot D. It cannot be...
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