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CFA Level I Option Replication Using Put-Call Parity question

Derivatives / Option Replication Using Put-Call Parity

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Option Replication Using Put-Call Parity sample question

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Derivatives

Option Replication Using Put-Call Parity

A non-dividend-paying stock trades at USD 60.00. One-year European options on the stock with an exercise price of USD 60.00 trade at USD 8.00 for the call and USD 4.50 for the put, and the annual risk-free rate is 5.00%. Based on put-call parity, the arbitrage strategy and the riskless profit captured today, per share, are best described as:

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