A stock is selling for R61, a 6-month put at R60 is selling for R1.70, a 6-month call at R60 is selling for R2.20 and the risk-free rate is 5%. What is the arbitrage profit using put-call parity? a. R2.45 b. R1.00 c. RO.50 d. R1.95

Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
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A stock is selling for R61, a 6-month put at
R60 is selling for R1.70, a 6-month call at
R60 is selling for R2.20 and the risk-free
rate is 5%. What is the arbitrage profit using
put-call parity?
a. R2.45
b. R1.00
c. RO.50
d. R1.95
Transcribed Image Text:A stock is selling for R61, a 6-month put at R60 is selling for R1.70, a 6-month call at R60 is selling for R2.20 and the risk-free rate is 5%. What is the arbitrage profit using put-call parity? a. R2.45 b. R1.00 c. RO.50 d. R1.95
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