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You buy a share of stock, write a 1-year call option with X = $90, and buy a 1-year put option with X = $90.
You buy a share of stock, write a 1-year call option with X = $90, and buy a 1-year put option with X = $90. Your net outlay to establish the entire portfolio is $89.7. The stock pays no dividends.
a. What is the payoff of your portfolio?
b. What must be the risk-free interest rate?
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