Treasury bill with maturity

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Reference no: EM132025525

Today is t = 0. You are given the following data:

• The 6-month zero coupon bond is priced at $98.24

• The 9-month zero coupon bond is priced at $97.21

• Call option (European) on the 13 week (assume this is equal to 3 months or 0.25 year) Treasury bill with maturity in 6-months and strike price of $99.12 is priced at $0.2934.

• Put option (European) on the 13 week (assume this is equal to 3 months or 0.25 year) Treasury bill with maturity in 6-months and strike price of $99.12 is priced at $0.1044

(a) Are the securities priced correctly?

(b) Can you design a strategy to take advantage of the arbitrage opportunity, if there is one?

Reference no: EM132025525

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