Determine if the futures and options are priced correctly

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On September 12, a stock index futures contract was at 423.70. The December 400 call was at 26.25, and the put was at 3.25. The index was at 420.55. The futures and options expire on December 21. The discrete risk-free rate was 2.75 percent.

Determine if the futures and options are priced correctly in relation to each other. If they are not, construct a risk-free portfolio and show how it will earn a rate better than the risk-free rate.

Reference no: EM131325909

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