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Consider an investor who buys two European puts, sells a European call, all with underlying one share of and with the same strike price and
Consider an investor who buys two European puts, sells a European call, all with underlying one share of and with the same strike price and maturity , and who buys two shares of . Assume all transaction cash is borrowed or invested and there is no arbitrage. Show that if at a time T the call is in the money, then the total profit of the investor is (_)rt0
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