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The current stock price for AAPL is $171.01 per share, the annualized interest rate is 3%, and the annualized drift for AAPL is 5%, with
The current stock price for AAPL is $171.01 per share, the annualized interest rate is 3%, and the annualized drift for AAPL is 5%, with no dividend. Suppose you are constructing another portfolio by buying a European Call on AAPL with strike 180 and selling the European Call on AAPL with strike 185. Suppose the market actually has a volatility skew: sigma(K)=min{1,18K^-1}.
Calculate your portfolio Value.
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