All options expire in 6 months and the 6 months discount factor is 0.95. What's the best strategy you can implement? Show payoff calculations.作者: Analti_Calte 时间: 2011-7-11 19:59
Buy a box spread.
cost today is 16-10+5-2 = 9
The cost should be ( Xh-Xl) X df= (110-100) X.95 = 9.5
Box spread in market is underprices. buy it and make a riskless profit of 0.5 cents
