PROBLEM 7.3 A one-year call option with an exercise price of 60 is available at a premium
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PROBLEM 7.3 A one-year call option with an exercise price of 60 is available at a premium of *6. You can also buy a one-year put with an exercise price of *55, at a premium of 3. If you set up a portfolio of a put and a call, what will be your pay-off, if the share price after one year is
(a) 58,
(b) 45, or
(c) *75?
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