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Parity with a dividend in the way · Part 3 of 3
European call and put options on a stock at $62 have a strike of $60 and six months to expiry. The riskless rate is 5% a year, continuously compounded, and the call trades at $5.10.
With the dividend, the put is quoted at $3.60. You sell it and hedge with the other three legs of parity. What riskless profit per share does the trade lock in, measured at expiry?
Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.
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