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You hold a short forward contract at 400 and a long call option with a strike price of 400 on the same underlying asset. Both
You hold a short forward contract at 400 and a long call option with a strike price of 400 on the same underlying asset. Both mature in six months. The premium on the option is 15.61 and the continuously compounded annualized interest rate is 3%. a) What synthetic position is equivalent to your holdings? Hint: derive the joint profit function. Use at most 3 words in your answers
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