Suppose the following for European options: Stock price $94 3-month call options with strike price $97 3-month put option with strike price $98 1-year risk-free rate is 3%. The put option is trading...


Suppose the following for European options:<br>Stock price $94<br>3-month call options with strike price $97<br>3-month put option with strike price $98<br>1-year risk-free rate is 3%.<br>The put option is trading ot $5 and there is an identical call option that is trading for $4. The arbitrage gain that<br>can be made is equal to:<br>O a. $2.00<br>b. $0.27<br>Oc. $3.00<br>O d. $1.27<br>O e $227<br>

Extracted text: Suppose the following for European options: Stock price $94 3-month call options with strike price $97 3-month put option with strike price $98 1-year risk-free rate is 3%. The put option is trading ot $5 and there is an identical call option that is trading for $4. The arbitrage gain that can be made is equal to: O a. $2.00 b. $0.27 Oc. $3.00 O d. $1.27 O e $227

Jun 11, 2022
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