Compute the gross payoffs for the following two portfolios in separate tables: Calls (strikes in parentheses):
Question:
Compute the gross payoffs for the following two portfolios in separate tables:
• Calls (strikes in parentheses): C(90) − 2C(100) + C(110).
• Puts (strikes in parentheses): P(90) − 2P(100) + P(110).
What is the relationship between the two portfolios? Can you explain why?
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