Question: MS Share prices shown every 10 days: (2 possible paths are shown) An investor owns 10,000 shares of MS on Day 0. You can purchase

MS Share prices shown every 10 days: (2 possible paths are shown) An investor owns 10,000 shares of MS on Day 0. You can purchase call (K=220) & put (K=200) at $22 & $20 per share per contract; respectively. Market condition: 60% down, 40% up.

(a). Set up a strategy such that the investor ends up with 25% weighted return on the investment.

(b). Revise your investment strategy such that the value of the investment portfolio will not drop below 10% at any given instances shown.

MS Share prices shown every 10 days: (2 possible paths are shown)

Day:00 10 20 30 40 50 60 70 210 212 160 195 185 175 160 165 220 210 205 195 185 190 195 200 Day:00 10 20 30 40 50 60 70 210 212 160 195 185 175 160 165 220 210 205 195 185 190 195 200

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