Verify that you earn the same profit and payoff by (a) buying the S & R index

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Verify that you earn the same profit and payoff by (a) buying the S & R index for $1000 and (b) buying a 950-strike S&R call, selling a 950-strike S&R put, and lending $931.37.

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Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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Question Posted: Dec 18, 2015 04:56 AM

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Verify that you earn the same profit and payoff by (a) Buying the S&R index for $1000 and (b) Buying a 950-strike S&R call, selling a 950-strike S&R put, and lending $931.37.
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Verify that you earn the same profit and payoff by (a) buying the S & R index

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We now move from a graphical representation and verification of the PutCallParity to a mathematical ...View the full answer

Derivatives Markets

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