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We write ( x ) + = max { 0 , x } . Throughout we assume that the numeraire asset is constant and equal

We write (x)+=max{0,x}. Throughout we assume that the numeraire asset is
constant and equal to 1, so S=hat(S).
Let T=1 and F_0={,}. In particular S0inRd. We define
Given vinRd, a Basket or Index option with weights v is the financial
instrument whose payoff is the random variable fv(S):=v*S1.
Given KinR a Call option on asset i with strike K is the financial instrument whose payoff is the random variable fi,Kcall:=(S1i-K)+.
Given KinR a Put option on asset i with strike K is the financial instrument
whose payoff is the random variable fi,Kput:=(K-S1i)+.
(a) Find the set of prices of fv.
(b) Establish the put-call parity
fi,Kcall-fi,Kput=S1i-K,
and obtain with its help the relationship between the set of prices of the call
option and the set of prices of the put option.
() If fi,Kcall is replicable, is then also fi,Kput replicable? If so, what is the relationship between the replicating trading strategy of
fi,Kput and the replicating strategy of fi,Kcall?

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