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As an investor, today you are taking following portfolio: Short-sell a non-dividend paying stock that has a current price $24$24. Sell a collar on the
As an investor, today you are taking following portfolio:
- Short-sell a non-dividend paying stock that has a current price $24$24.
- Sell a collar on the same stock
Under the following assumptions:
- All options will expire in 11 year.
- Premium for 2020-strike call and 3030-strike call options are $6$6 and $2$2, respectively.
- Premium for 2020-strike put and 3030-strike put options are $1$1 and $5$5, respectively.
- The continuously compounded risk-free interest rate is 3%.
- Transaction cost is zero.
The maximum profit of this portfolio at the expiration time is (please use 1 decimal place)
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