Isn’t the answer to this problem given on page 238 backwards? Shouldn’t it be -.0241 rather than .0241? This is an arbitrage question with put options. As the answer suggests, we generate $608,750 up front and pay back $623,437 at the end. Hence, the return must be negative.
I don’t have the book with me now but If I remember correctly you are comparing it to the cost of borrowing so a positive sign would basically means you are paying this rate of return
Ahh, right on. Good call, and thank you.