Stock abc is trading for 50 the stock has a standard, Ask an Expert

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Stock ABC is trading for $50. The stock has a standard deviation on an annual basis of 20%. The risk free rate on a continuously compounded basis is 5%.

a. What is the price of a call that expires in 26 days and has a strike price of 50?

b. What is the price of a put that expires in 26 days and has a strike price of 50?

c. If the put was currently trading for $1.10 could you generate arbitrage profits? If so, show all the steps you would take and calculate your profits.

d. What is delta of each option?

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92059281

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