Question
You purchased the following portfolio a year ago: long one stock of London XYZ plc for 25.35GBP, short one call option on the stock with
You purchased the following portfolio a year ago: long one stock of London XYZ plc for 25.35GBP, short one call option on the stock with a strike price of 27 GBP, a maturity of one year with a price of 3 GBP and long one put option on the stock with a strike price of 23 GPB, a maturity of one year with a price of 3 GBP. The price of London XYZ plc is 21.24 GBP today. Calculate the gross payoff at maturity and the realized rate of return of the portfolio.
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Fundamentals Of Investments Valuation And Management
Authors: Bradford D Jordan, Thomas W. Miller Jr., Steven D. Dolvin
6th Edition
0073530719, 9780073530710
