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Exercise 4.20. In the framework of the-? log-normal asset price model consider a strangle option with the payoff funct ion (a) Plot, the pavoff function.

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Exercise 4.20. In the framework of the-? log-normal asset price model consider a strangle option with the payoff funct ion (a) Plot, the pavoff function. (b) Find a portfolio consisting of standard European calls and puts that replicates the payoff. (c) Find the arbitrage-free price by using the-Black-Scholes price formulae for vanilla options. (d) Find the delta

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