ExxonMobil shares and a pair of 3‐month options with strike price of $30 are trading at the prices in the table below. Assuming the 3‐month risk‐free interest rate (with continuous compounding) is 10% p.a. There is no arbitrage opportunity in this set of prices. Share price Call premium Put premium $32.00 $3.55 $0.81   True

Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
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  1. ExxonMobil shares and a pair of 3‐month options with strike price of $30 are trading at the prices in the table below. Assuming the 3‐month risk‐free interest rate (with continuous compounding) is 10% p.a. There is no arbitrage opportunity in this set of prices.

Share price

Call premium

Put premium

$32.00

$3.55

$0.81

 

  1. True
  2. False
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