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For all questions, interest (r) and dividend (d) rates are continuously compounded unless specified otherwise....

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Accounting

For all questions, interest (r) and dividend (d) rates are continuously compounded unless specified otherwise.

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does not need stock price do on excel with range of stock prices for example from 70-110$ and show formulas on excel and how

Q5) r= 8% (c.c.), T (option expiry) = 6 months. Assume we have the following table of option prices: Strike Put Call Ki = 80 4.40 26.60 K= 90 7.94 20.16 K] = 100 12.66 14.96 a) Use Put Call Parity to identify an arbitrage. Construct the arbitrage portfolio and compute your profit. b) If the interest rate were 1% instead of 8%, would you still have an arbitrage? If so, what would your profit be? Q5) r= 8% (c.c.), T (option expiry) = 6 months. Assume we have the following table of option prices: Strike Put Call Ki = 80 4.40 26.60 K= 90 7.94 20.16 K] = 100 12.66 14.96 a) Use Put Call Parity to identify an arbitrage. Construct the arbitrage portfolio and compute your profit. b) If the interest rate were 1% instead of 8%, would you still have an arbitrage? If so, what would your profit be

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