Find the price of a portfolio consisting only of put and call options that has the...
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Find the price of a portfolio consisting only of put and call options that has the payoff shown below. Note that the payoff continues linearly outside the plot boundaries. Be sure to show your cash flow table. Payoff 40 30 20 10 -10 -20 -30 -40 10 20 30 40 50 60 70 80 90 Use the following prices of 1-year option with various strikes, all on the same underlying asset generating no income/costs: Strike (K) Call C(K) Put P(K) 20 28.6 2.1 22.4 3.6 17.9 4.8 14.4 12.3 10.2 25 30 35 40 45 50 55 60 9.4 8.2 6.9 S(T) 5.7 6.9 9.1 10.7 11.8 13.1 Find the price of a portfolio consisting only of put and call options that has the payoff shown below. Note that the payoff continues linearly outside the plot boundaries. Be sure to show your cash flow table. Payoff 40 30 20 10 -10 -20 -30 -40 10 20 30 40 50 60 70 80 90 Use the following prices of 1-year option with various strikes, all on the same underlying asset generating no income/costs: Strike (K) Call C(K) Put P(K) 20 28.6 2.1 22.4 3.6 17.9 4.8 14.4 12.3 10.2 25 30 35 40 45 50 55 60 9.4 8.2 6.9 S(T) 5.7 6.9 9.1 10.7 11.8 13.1
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