A stock is selling for R61, a 6-month put at R60 is selling for R1.70, a 6-month call at R60 is selling for R2.20 and the risk-free rate is 5%. What is the arbitrage profit using put-call parity? a. R2.45 b. R1.00 c. RO.50 d. R1.95
A stock is selling for R61, a 6-month put at R60 is selling for R1.70, a 6-month call at R60 is selling for R2.20 and the risk-free rate is 5%. What is the arbitrage profit using put-call parity? a. R2.45 b. R1.00 c. RO.50 d. R1.95
Chapter8: Risk And Rates Of Return
Section: Chapter Questions
Problem 16PROB
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