The following are three-month call option prices the call, Ask an Expert

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The following are three-month call option prices: the call at strike 100 is trading at $ 5 and the call at strike 102 is trading at $ 2.5. The rate of interest (continuously compounded) is 3%. Is there an arbitrage strategy is this market and how would you implement it? Draw a cash flow table showing the outcome of your strategy at maturity for every possible stock price level.

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Financial Management, Finance

Category:- Financial Management
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