Question: a. The end-of-Period Conversion cashflow (A Conversion is a position that is Long stock, long put, short call-call and put have same strike and expiration)

a. The end-of-Period "Conversion" cashflow (A "Conversion" is a position that

a. The end-of-Period "Conversion" cashflow (A "Conversion" is a position that is Long stock, long put, short call-call and put have same strike and expiration) is equal to X (the strike price of the call and put). Expiration Cash Flows ST= X STX Position Long Stock ST Long Put X-ST Short Call 0 X b. End-of-Period Long Box Spread cashflow is equal to X2 - X1. Long Box spread is a long position in call with strike X1, long position in put with strike X2, short position in call with strike X2, and short position in put with strike X1. Expiration Cash Flows X1 S ST X2 STX ST > X2 Position Long X, Call 0 Short X, Call 0 Short X. Put (X-ST) Long X, Put X-ST X2-X

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