Consider a modified butterfly position with K 1 2 3, and a > 0. How is a
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Consider a modified butterfly position
with K12 3, and a > 0. How is a to be chosen to guarantee a vanishing payoff for ST = K1 and ST = K3?
Transcribed Image Text:
IlButterfly = C(K1, T) – a · C(K2, T) + C(K3, T) %3D
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