Options, Futures, and Other Derivatives with Derivagem CD (7th Edition)

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Unformatted text preview: Chapter 9 Homework Solution 2. c ≥ S 0 − Ke − rT = 28 − 25e 3. p ≥ Ke − rT − S 0 = 15e 7. p = c + Ke − rT − S 0 = 1 + 20e 9. c ≥ S 0 − Ke − rT = 80 − 75e 10. p ≥ Ke − rT − S 0 = 65e 11. c ≥ S 0 − D − Ke − rT = 64 − 0.80e Buy the call (-$5) Short the stock (+$64) Invest $0.79 for 1 month Invest $58.21 for 4 months A guaranteed profit 12. 12 p ≥ Ke − rT − S 0 = 50e − 47 = $2.75 > $2.50 Buy the put (-$2.50) Buy the stock (-$47) Borrow $49.50 for 1 month A...
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