The so-called box spread consists of four options: one long call and one short put, both with strike E1, and one short call and one long put both with strike E2.

(a) Derive a formula for the payoff from a box spread at the expiry date in terms of E1 and E2.

(b) Use put-call parity to calculate the price of the box spread at time = T t before expiration, if the risk-free rate is r > 0. [You do not need to know the prices of the individual options to price the box spread!]