Question
Case 2. The current price of one share of stock is 87.00. The stock pays no dividends. The risk-free rate is 4%. Nine-month call and
Case 2. The current price of one share of stock is 87.00. The stock pays no dividends. The risk-free rate is 4%. Nine-month call and put options on the stock are available for various strike prices are shown in the table: Strike Price Call Option Put Option 85 8.50 2.50 90 6.50 4.50 95 4.50 7.50 98 3.00 9.50 Johnny creates a portfolio by selling 10 call options with a strike price of 95, and selling 10 put options with the strike price of 90. Let S denote the spot price at the maturity. Referring to Case 2, the breakeven point(s) is(are) ____. Group of answer choices 0, 81 81, 90 81, 104 90, 104
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