An investor buys a call on ABC stock with a strike price of K and writes a
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An investor buys a call on ABC stock with a strike price of K and writes a put with the same strike price and maturity. Assuming the options are European and that there are no dividends expected during the life of the underlying, how much should such a portfolio cost?
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The investor is executing a strategy known as a synthetic long position which mimics the payoff of actually owning the underlying asset A synthetic lo...View the full answer
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