Question
Show that the payoff of long position in a straddle centered at strike K2 plus a loan for the present value of (K2 K1) is
Show that the payoff of long position in a straddle centered at strike K2 plus a loan for the present value of (K2 K1) is equal to a short position in a butterfly spread at strikes K1, K2 and K3 plus a strangle at strikes K1 and K3.
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Cost Benefit Analysis
Authors: Harry F. Campbell, Richard P.C. Brown
3rd Edition
1032320753, 9781032320755
