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1. (5 marks) Let Ki and Kz be positive constants with K K3. Assume that T-expiry European call and put options with strikes K1, K2

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1. (5 marks) Let Ki and Kz be positive constants with K K3. Assume that T-expiry European call and put options with strikes K1, K2 and Kz are available in the market. Find a portfolio consisting these options that has the same payoff as C(ST). 1. (5 marks) Let Ki and Kz be positive constants with K K3. Assume that T-expiry European call and put options with strikes K1, K2 and Kz are available in the market. Find a portfolio consisting these options that has the same payoff as C(ST)

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