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Assume the 3-year interest rate is 6%, a 3-year zero-coupon bond can be purchased at $835.27. Also, assume that a 3-year at the money call

Assume the 3-year interest rate is 6%, a 3-year zero-coupon bond can be purchased at  $835.27. Also, assume that a 3-year at the money call option costs $164.73. At the money  option means that the strike price is the same (or similar to) the current price (S0=K). 


What  is the portfolio payoff of buying a 3-year zero-coupon bond and long a call option when the  futures stock price is St?

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