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All the call and put options are European style. At time 0, you performed the following trading strategy: 1. Write a call option on 300
All the call and put options are European style. At time 0, you performed the following trading strategy:
1. Write a call option on 300 shares of Stock A;
2. Buy a put option on 300 shares of Stock A with the same strike price and maturity as the written call;
3. Purchase 300 shares of Stock A.
Show the above strategy is delta-neutral by drawing payoff diagrams.
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