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You are interested in borrowing $ 1 0 , 0 0 0 for one year by using a box spread. You are given the following
You are interested in borrowing $ for one year by using a box spread.
You are given the following option prices:
tableStrike price,Call premium,Put Premium
The continuously compounded riskfree interest rate is
One unit of the box spread consists of a long bull spread of calls and a long bear spread of puts.
Calculate the number of units of the box spread needed to achieve the financing goal, and determine whether they are bought or sold.
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