Question

The spot price of IBM is $102.00. The risk-free rate is 4.8%. Consider eight barrier versions of the 29 month IBM European call with strike price $102.00 and barrier LL. These are characterized by "call" versus "put," "down" versus "up," and "out" versus "in." Suppose that the up-and-out call is $200, the up-and-in put is $4.00, and the up-and-out put is $200. Assume there is no arbitrage. Assume all rates are continuous and per annum. Compute the price of a portfolio which is long 7 up-and-in calls and short 7 up-and-out puts.​

Answer 1

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Step-by-step explanation:

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