A stock price (which pays no dividends) is $48.08 and the strike price of a 2 year European put option is $56.63. The risk-free rate is 4% (continuously compounded). What is a lower bound for the...


A stock price (which pays no dividends) is $48.08 and<br>the strike price of a 2 year European put option is<br>$56.63. The risk-free rate is 4% (continuously<br>compounded). What is a lower bound for the option<br>such that there are arbitrage opportunities if the price is<br>below the lower bound and no arbitrage opportunities if<br>it is above the lower bound? Use 2 decimal places.<br>

Extracted text: A stock price (which pays no dividends) is $48.08 and the strike price of a 2 year European put option is $56.63. The risk-free rate is 4% (continuously compounded). What is a lower bound for the option such that there are arbitrage opportunities if the price is below the lower bound and no arbitrage opportunities if it is above the lower bound? Use 2 decimal places.

Jun 11, 2022
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