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A stock is priced at 80 and three-month European call and put options on the stock are available. An 81-strike call is priced at 4.47
A stock is priced at 80 and three-month European call and put options on the stock are available. An 81-strike call is priced at 4.47 and a 79-strike call is priced at 5.43. An 81-strike put is priced at 5.07 and a 79-strike put is priced at 4.05. |
A portfolio is comprised of 1 long 81-strike call, 1 short 79-strike call, 1 long 81-strike put, and 1 short 79-strike put. |
If the force of interest is 5%, calculate the payoff on this portfolio after 3 months if the stock price is 83 at that time. |
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