You enter into a long synthetic forward on a stock using 1-year European options. The price of

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You enter into a long synthetic forward on a stock using 1-year European options. The price of a 50-strike call option is 6.8 and the price of a 50-strike put option is 4.2.

The continuously compounded risk-free interest rate is 3%.

The stock sells for 54 after 1 year.

Determine your profit from the long synthetic forward.

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Derivative Pricing

ISBN: 9780367734213

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Authors: Ambrose Lo

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Question Posted: Nov 22, 2023 08:17 AM

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You enter into a long synthetic forward on a stock using 1-year European options. The price of

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The long synthetic forward consists of buying the 5...View the full answer

Derivative Pricing

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