Assume that you hold the following portfolio of European options on the same stock:

Short one put with a strike price of $35;

Long two calls with a strike price of $20;

All options expire in 20 months. Assume that the stock price today is $30 and that the stock volatility is 24%. The continuously compounded annual risk-free interest rate is 2.5%. Finally, assume that the Black-Scholes framework holds.

What is the cost of the portfolio?

9.60

43.34

28.08

16.17

18.50