S&P 500 Index is at 2780. A European June 21, 2019 SPX call option struck at...

S&P 500 Index is at 2780. A European June 21, 2019 SPX call option struck at 2500 is trading at $316.94. An identical put is trading at $55.15. A T-bill with 200 days to maturity is quoted at a yield of 2.46.

From the T-bill, calculate the discount factor

Use the discount factor from part a to check the lower-bound condition for the call and the put

Use the discount factor from part a to check put-call parity.

Design a zero-net-investment strategy exploiting the violation of the put-call parity assuming it is genuine.

Expert Solution

Already I have done answer to it … so given the same.

jeff jeffy answered 5 months ago

The S&P 500 index is currently at $2,000. The one-year $1,900-strike European call option on the...

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The S&P 500 index is currently at $2,000. The one-year $1,900-strike European call option on the...

The S&P 500 index is currently at $2,000. The one-year $1,900-strike European call option on the index is quoted at $191. The one-year $1,900-strike European put option on the index is quoted at $58 What is the current intrinsic value ( ) and time value ( ) for the call option? What is the current intrinsic value ( ) and time value ( ) for the put option?

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