10.6 The price of XYZ stock at time 0 is 40. Annual effective interest is at rate 5%. Call and put option (European) values for various strike prices are: Strike Price Call Price Put Price 30 12.92 1.50 34 10.32 2.79 38 8.12 4.32 40 7.18 5.28 43 6.34 6.34 46 4.90 8.72 50 3.78 11.40 It is assumed that XYZ stock pays no dividends. (a) Formulate the payoff and profit on a protective put with a strike price of 50. (b) Verify the put-call parity relationship for the listed option prices. (C) Describe the payoff and profit at time 1 of a bull spread consisting of a purchased call with strike price 42 and a written call with strike price 50. (d) Formulate the payoff and profit on a collar and a collared stock based on strike prices 40 and 50. 10.6 The price of XYZ stock at time 0 is 40. Annual effective interest is at rate 5%. Call and put option (European) values for various strike prices are: Strike Price Call Price Put Price 30 12.92 1.50 34 10.32 2.79 38 8.12 4.32 40 7.18 5.28 43 6.34 6.34 46 4.90 8.72 50 3.78 11.40 It is assumed that XYZ stock pays no dividends. (a) Formulate the payoff and profit on a protective put with a strike price of 50. (b) Verify the put-call parity relationship for the listed option prices. (C) Describe the payoff and profit at time 1 of a bull spread consisting of a purchased call with strike price 42 and a written call with strike price 50. (d) Formulate the payoff and profit on a collar and a collared stock based on strike prices 40 and 50