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An investor longs a 3 months maturity call option with K = 220, and shorts a half year call with K = 220. Currently, S0

An investor longs a 3 months maturity call option with K = 220, and shorts a half year call with K = 220. Currently, S0 = 220, risk-free rate r = 0.06 (continuously compounded), and = 0.25. The stock pays no dividends.

 

1. Calculate  the portfolio.




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