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YOUR BANK is thinking to issue a European Long-Strangle option of one-year maturity on a two-year zero coupon bond. When an investor purchases one Long-Strangle
YOUR BANK is thinking to issue a European "Long-Strangle" option of one-year maturity on a two-year zero coupon bond. When an investor purchases one Long-Strangle option from YOUR BANK, she is (a) buying one European call option of strike price $950 and one-year maturity on a two-year zero coupon bond, and (b) buying one European put option of strike price $930 and one-year maturity on a two-year zero coupon bond. What should be the issue price / offer price / premium on that Long-Strangle Option?
$9.060
$13.350
$22.674
$21.931
$18.384
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