Consider the following special strike-delay call and put option contracts maturing at time 2, for which the strike prices are not set at the time of purchase of the contracts, but it is agreed that the strike price would be set equal to the share price at time 1. So for these contracts, the maturity payoff at time 2 will be calculated as follows: Strike-delay call option payoff: max [S2 S1,0). Strike-delay put option payoff: max [S1 S2,0). Suppose cy (S1,2) and p*(S1,2) denote the prices at time 0 of a strike-delay call option contract and a strike-delay put option contract respectively, with strike price S and maturity at time 2. (e) Show that c*(S1,2) = co(S0, 1). [ 5 marks] (f) Show that p*(S1, 2) = po(So, 1). [5 marks] (g) Discuss situations where an investor might prefer strike-delay option contracts over standard European option contracts. [4 marks] Consider the following special strike-delay call and put option contracts maturing at time 2, for which the strike prices are not set at the time of purchase of the contracts, but it is agreed that the strike price would be set equal to the share price at time 1. So for these contracts, the maturity payoff at time 2 will be calculated as follows: Strike-delay call option payoff: max [S2 S1,0). Strike-delay put option payoff: max [S1 S2,0). Suppose cy (S1,2) and p*(S1,2) denote the prices at time 0 of a strike-delay call option contract and a strike-delay put option contract respectively, with strike price S and maturity at time 2. (e) Show that c*(S1,2) = co(S0, 1). [ 5 marks] (f) Show that p*(S1, 2) = po(So, 1). [5 marks] (g) Discuss situations where an investor might prefer strike-delay option contracts over standard European option contracts. [4 marks]