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You construct a long 60-70-80 butterfly spread by using 4 options from those listed below. Strike 60 Call Put 11.89 1.00 5.39 4.35 1.94 10.75
You construct a long 60-70-80 butterfly spread by using 4 options from those listed below. Strike 60 Call Put 11.89 1.00 5.39 4.35 1.94 10.75 70 80 The options have an expiration of 6 months, and the continuously compounded risk-free rate is 3%. Assuming no arbitrage, what is the minimum profit you can receive from the butterfly? -12.0 B -3.1 0.0 D 3.2 E 6.9
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