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Consider the European call option of a non-dividend-paying stock. Suppose that Pt = $20, K = $18, r = 6% per annum, and T - t = 0.5 year.

If the price of a European call option of the stock is $2.10, what opportunities are there for an arbitrageur?

Financial Management, Finance

  • Category:- Financial Management
  • Reference No.:- M91980803

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