17. Assume r = 8%, = 30%, = 0. Using 1-year-to-expiration European options, construct a...

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17. Assume r = 8%, σ = 30%, δ = 0. Using 1-year-to-expiration European options, construct a position where you sell two 80-strike puts, buy one 95-strike put, buy one 105-strike call, and sell two 120-strike calls. For a range of stock prices from

$60 to $140, compute delta, vega, theta, and rho of this position. As best you can, explain intuitively the signs of the Greeks.

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