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elf_fu elf_fu
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6 years ago
A strategy consists of longing a put on the market index with a strike of 830 and shorting a call option on the market index with a strike price of 830. The put premium is $18.00 and the call premium is $44.00. Interest rates are 0.5% per month. Determine the net profit or loss if the index price at expiration is $830 (in 6 months).
A) $0
B) $23.67 loss
C) $26.79 gain
D) $28.50 gain
Textbook 
Derivatives Markets

Derivatives Markets


Edition: 3rd
Author:
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phuongha2892phuongha2892
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6 years ago
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elf_fu Author
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#2
6 years ago
Thank you phuongha2892
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