Problem

15. You are working on an option trading desk in charge of arbitrage trading. The followin...

15. You are working on an option trading desk in charge of arbitrage trading. The following data is presented to you on screen, and you immediately see an arbitrage. What is it, and how much money can you make risk-free?

S = 60
K = 60
r = 3%
T = 0.25
D = 0
CE = 5
PE = 3

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Solutions For Problems in Chapter 10