A call options mature in six months is trading for $3.80. The stock underlying the call option is currently trading for $52 and will pay a dividend of $4 in five month. The risk-free rate of interest is 12% p.a. with continuous compounding. If the strike price of the option is $50 is there an arbitrage opportunity that can generate risk less profit.Explain from both European and American options perspective. If the dividend is paid in a month time does your answer change for American option?
一个看涨期权在六个月内成交，交易价为3.80美元。 看涨期权的股票目前交易价为52美元，并将在5个月内支付4美元的股息。 无风险利率为12％p.a. 连续复合。 如果期权的行使价为50美元，那么存在可以产生风险较少利润的套利机会。从欧洲和美国的期权角度来看。 如果股息是在一个月的时间支付你的答案改变美国选择？
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