The sampp 500 spot level is 2383 the 1-year at-the-money, Ask an Expert

Finance

The S&P 500 spot level is 2,383. The 1-year at-the-money call on is selling at $150. The risk-free rate is 4% and the index pays a dividend yield of 3%. The S&P 500 options are European.

(a) What is the theoretical price of the 1-year at-the-money put price?

(b) The 1-year put is selling at $120 on the market, show how you can benefit from this arbitrage opportunity. Show all details.

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92760196

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