medium · FRM Part 1
An arbitrageur finds that a 1-year European call (K=40) trades at $3 and a 1-year European put (K=40) trades at 6 while the stock is at S_0 = $35. The risk-free rate is r = 5%.
What is the riskless profit per share from an arbitrage trade?
- $1.05
- $0.05
- $3.00
- $2.00
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