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Question
A stock priced at $65 has a standard deviation of 30%. Three-month calls and puts with an exercise price of $60 are available. The calls have a premium of $7.27, and the puts cost $1.10. The risk-free rate is 5%. Since the theoretical value of the put is $1.525, you believe the puts are undervalued.If you construct a riskless arbitrage to exploit the mispriced puts, your arbitrage profit will be _____.
A. $5.75
B. $6.17
C. $.96
D. $.42
Answer
This answer is hidden. It contains 207 characters.
Related questions
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Q:
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Q:
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