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Find a portfolio with payoff at time T equal to if 0 S(T) 10, if 10 S(T) 30, if 30 S(T). VT = 2ST
Find a portfolio with payoff at time T equal to if 0 S(T) 10, if 10 S(T) 30, if 30 S(T). VT = 2ST + 30, -3ST+80, ST-40, Here, ST denotes the price of the underlying asset at time T. You can hold cash, the asset, calls, and puts.
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Financial Accounting Theory
Authors: William R. Scott
7th edition
132984660, 978-0132984669
