Consider a position of two purchased calls (AT&T, three months, K  30) and one written put (AT&T, three months, K  30). What position in AT&T stock will show the same sensitivity to price changes in AT&T stock as the option position T  PV(K)N(d1


T )/(1  rf)

PV(K) 

K

(1  rf)T, S0
TN (d1).

described above? Express your answer algebraically as a function of d1 from the Black-
Scholes model.AppendixLO1