An investor calculates that the premium of a European put option is less than its value based on put-call parity. In exploiting this arbitrage opportunity, the investor is most likely to:
A) Sell the call option.
B) Invest the present value of the exercise price at the risk-free rate.
C) Sell the underlying short.

Question

16-06-2024
Business

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An investor calculates that the premium of a European put option is less than its value based on put-call parity. In exploiting this arbitrage opportunity, the investor is most likely to:
A) Sell the call option.
B) Invest the present value of the exercise price at the risk-free rate.
C) Sell the underlying short.

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