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QUESTION
Suppose that the current stock price is $100 and the risk free rate is zero. The stock does not pay any dividends. You are given a list of 1 year...
Suppose that the current stock price is $100 and the risk free rate is zero. The stock does not pay any dividends. You are given a list of 1- year European call option prices for different strike prices (K). Determine whether an arbitrage opportunity exists. If your answer is positive describe all arbitrage strategies and if not explain why not.
Suppose that the current stock price is $100 and the risk free rate is zero. The stockdoes not pay any dividends. You are given a list of 1— year European call option pricesfor different strike prices (K). Determine Whether an arbitrage opportunity exists. If youranswer is positive describe a_ll arbitrage strategies and if not explain why not. (50 marks) Hint: Note that the stock itself can be Viewed as a call option. C K60 4490 30 120 8