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S0=60, r=8%, Sd=45, Su=70, K=40, Vu=30, Vd=5, use the risk-neutral pricing formula to determine if an...

S0=60, r=8%, Sd=45, Su=70, K=40, Vu=30, Vd=5, use the risk-neutral pricing formula to determine if an arbitrage opportunity exists, if the option selling for $23.0779


V(0)=23.0779, so there is an arbitrage opportunity exists.


V(0)=15.0779, so there is an arbitrage opportunity exists.


V(0)=23.0779, so there is no an arbitrage opportunity exists.


V(0)=15.0779, so there is no an arbitrage opportunity exists.

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Answer #1

The optional selling price V(0)=23.0779 ,so there is an arbitrage opportunity exists.

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S0=60, r=8%, Sd=45, Su=70, K=40, Vu=30, Vd=5, use the risk-neutral pricing formula to determine if an...
S0=60, r=8%, Sd=45, Su=70, K=40, Vu=30, Vd=5, use the risk-neutral pricing formula to determine if an arbitrage opportunity exists, if the option selling for $23.0779 V(0)=23.0779, so there is an arbitrage opportunity exists. V(0)=15.0779, so there is an arbitrage opportunity exists. V(0)=23.0779, so there is no an arbitrage opportunity exists. V(0)=15.0779, so there is no an arbitrage opportunity exists.
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