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Consider the two strategies below: Strategy A: Long a call option with Xi = $30 and long a put option with X2 = $40 Strategy
Consider the two strategies below: Strategy A: Long a call option with Xi = $30 and long a put option with X2 = $40 Strategy B: Long a put option with X1 = $30 and long a call option with X2 = $40 All the options have the same maturity and they are used on the same stock. Further assume that the firm pays no dividend. Required: Which strategy is more expensive to construct? You must prove your
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