Lower Bound for European cal Option prices: No dividends Equation 8.1, page 173) C之 rT 0 Ke Options, Futures, and other Derivatives, 5th edition 2002 by John C. Hull
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 8.6 Lower Bound for European Call Option Prices; No Dividends (Equation 8.1, page 173) c S0 –Ke -rT
Puts: An Arbitrage 8.7 Opportunity Suppose that So 37 T=0.5 r=5% K=40 D=0 Is there an arbitrage opportunity? Options, Futures, and other Derivatives, 5th edition 2002 by John C. Hull
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull Puts: An Arbitrage 8.7 Opportunity? • Suppose that p = 1 S0 = 37 T = 0.5 r =5% K = 40 D = 0 • Is there an arbitrage opportunity?