A trader creates the following option portfolio with, Ask an Expert

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A trader creates the following option portfolio with European call options with strike prices of $60, $65, $70 and $75: the trader buys the $60 call, sells the $65 call, sells the $70 call and buys the $75 call. The $60, $65, $70 and $75 calls are worth respectively $10, $7, $5 and $4. a) Derive the profit of this position at maturity as a function of the then spot price. b) For what range of stock prices at maturity is the portfolio profitable?

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Financial Management, Finance

Category:- Financial Management
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