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A stock is priced at 45 and 9 month European call and put options on the stock are available. An at-the-money call is priced at
A stock is priced at 45 and 9 month European call and put options on the stock are available. An at-the-money call is priced at 5.65 and a 52 strike call is priced at 2.94. An at-the-money put is priced at 3.40 and a 52 strike put is priced at 7.18. A portfolio is comprised of 1 long at-the-money call, 1 long 52-strike call, 1 short at-the-money put and 1 short 52-strike put. If the force of interest is 10%, calculate the payoff on this portfolio after 9 months if the stock price is 53 at that time.
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