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S&P 500 Index is at 2780. A European June 21, 2019 SPX call option struck at...

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Finance

S&P 500 Index is at 2780. A European June 21, 2019 SPX calloption struck at 2500 is trading at $316.94. An identical put istrading at $55.15. A T-bill with 200 days to maturity is quoted ata yield of 2.46.

  1. From the T-bill, calculate the discount factor
  1. Use the discount factor from part a to check the lower-boundcondition for the call and the put
  1. Use the discount factor from part a to check put-callparity.
  1. Design a zero-net-investment strategy exploiting the violationof the put-call parity assuming it is genuine.

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