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For this part, you should work in the Black-Scholes framework. Fix some S, r, , T. Suppose you wanted to buy a straddle with zero
For this part, you should work in the Black-Scholes framework. Fix some S, r, , T. Suppose you wanted to buy a straddle with zero delta.
i. What strike, K, should you choose for the underlying call and put?
ii. Having chosen this strike, which is more expensive: the put with strike K or the call with strike K?
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