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- 11/11/09
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I have a Eu put and call written on the same div-free stock, with same expiring (T) and same strike K. Assume C and P are current price of them.
How can I show that if the current price of stock is K, and C - P > Kr, then an arbitrage opportunity exist? (r > 0).
How can I show that if the current price of stock is K, and C - P > Kr, then an arbitrage opportunity exist? (r > 0).