Assume that you hold the following portfolio of European options on the same stock: Long three puts with a strike price of $45; Long one call with a strike price of $40;

All options expire in 3 months. Assume that the stock price today is $30and that the stock volatility is 24%. The continuously compounded annual risk-free interest rate is 5%. Finally, assume that the Black-Scholes framework holds.

What is the cost of the portfolio?

14.49

14.46

5.02

43.34

4.82