2. Three-month European put options with strike prices of $50, $55, and $60 cost $2, $4, and $7, respectively.

a) What is the maximum gain when a butterfly spread is created from the put options?

b) What is the maximum loss when a butterfly spread is created from the put options?

c) For what two values of St does the holder of the butterfly spread break even with a profit of zero, where St is the stock price in three months?