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The Current Price of YBM Stock S Is $101

Question 4

Multiple Choice

The current price of YBM stock S is $101.European options with a strike price K = $100 and maturing in T = 6 months trade on YBM.The continuously compounded,risk-free interest rate r is 5 percent per year.If the call price c is $7.50 and the put price p is $4.60,then the arbitrage profits that you can make today by trading one contract of each option (one contract is based on 100 shares) are:


A) 0
B) $57
C) $112
D) $198
E) None of these answers are correct.

Correct Answer:

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