2. Butterflies, condors, and call ladders (a) Recall that a call butterfly with strikes (K1,K1+,K1+2), for some fixed >0, is a portfolio consisting of +1 share of a K1 call, +1 share of a K1+2 call, and 2 shares of a K1+ call. How can you replicate this call butterfly using only put options? (b) A call condor is a portfolio consisting of +1 share of a K call, 1 share of a K+ call, 1 share of a K+2 call, and +1 share of a K+3 call. Draw the payout graph of the condor, and express the condor as a portfolio consisting solely of call butterflies. (c) A call ladder consists of +1 share of a K call, 1 share of a K+ call, and 1 share of a K+2 call. What relationship holds between the prices at time tT of the call ladder, butterfly, and condor with common maturity T ? 2. Butterflies, condors, and call ladders (a) Recall that a call butterfly with strikes (K1,K1+,K1+2), for some fixed >0, is a portfolio consisting of +1 share of a K1 call, +1 share of a K1+2 call, and 2 shares of a K1+ call. How can you replicate this call butterfly using only put options? (b) A call condor is a portfolio consisting of +1 share of a K call, 1 share of a K+ call, 1 share of a K+2 call, and +1 share of a K+3 call. Draw the payout graph of the condor, and express the condor as a portfolio consisting solely of call butterflies. (c) A call ladder consists of +1 share of a K call, 1 share of a K+ call, and 1 share of a K+2 call. What relationship holds between the prices at time tT of the call ladder, butterfly, and condor with common maturity T