Suppose S = $98, K = $100, u = 1.08, d = 0.94 a one...
80.2K
Verified Solution
Link Copied!
Question
Accounting
Suppose S = $98, K = $100, u = 1.08, d = 0.94 a one period put option with delta of -0.10000 should sell for $1.41 but it selling in the market for $1.47. this leads to an arbitrage opportunity that can be accomplished by selling 0.10000 unit of stocks invested $80.00 for one period at the rate of 1.04 and seling the put . Does this lead to arbitrage profits?
Get Answers to Unlimited Questions
Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!
Membership Benefits:
- Unlimited Question Access with detailed Answers
- Zin AI - 3 Million Words
- 10 Dall-E 3 Images
- 20 Plot Generations
- Conversation with Dialogue Memory
- No Ads, Ever!
- Access to Our Best AI Platform: Flex AI - Your personal assistant for all your inquiries!
Other questions asked by students
StudyZin's Question Purchase
1 Answer
$0.99
(Save $1 )
One time Pay
- No Ads
- Answer to 1 Question
- Get free Zin AI - 50 Thousand Words per Month
Best
Unlimited
$4.99*
(Save $5 )
Billed Monthly
- No Ads
- Answers to Unlimited Questions
- Get free Zin AI - 3 Million Words per Month
*First month only
Free
$0
- Get this answer for free!
- Sign up now to unlock the answer instantly
You can see the logs in the Dashboard.