TFS is trading at $20.75 with an annual volatility of 22%. The cc interest rate is 2.000% and the cc dividend rate is 2.250%. Xenia constructs a butterfly spread, using the strikes K0 = 20.00, Kmed = 23.00, Khi = 26.00. Using the Black- Scholes model: a) Graph the payoff and profit diagrams, labelling key points. b) Find delta and construct the delta hedged portfolio at time t=0. c) Assume time doesn't change. Find the range of stock prices where the delta hedged portfolio shows a profit, the range where it shows a loss, and the breakeven points. d) Xenia never rebalances the delta hedge. Do the same as part c) but at the time the option expires. e) Find gamma for the portfolio at each of the strike prices. TFS is trading at $20.75 with an annual volatility of 22%. The cc interest rate is 2.000% and the cc dividend rate is 2.250%. Xenia constructs a butterfly spread, using the strikes K0 = 20.00, Kmed = 23.00, Khi = 26.00. Using the Black- Scholes model: a) Graph the payoff and profit diagrams, labelling key points. b) Find delta and construct the delta hedged portfolio at time t=0. c) Assume time doesn't change. Find the range of stock prices where the delta hedged portfolio shows a profit, the range where it shows a loss, and the breakeven points. d) Xenia never rebalances the delta hedge. Do the same as part c) but at the time the option expires. e) Find gamma for the portfolio at each of the strike prices