Call premium plus put premium

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An Asset currently trades at price S0. Let V0 be the current price (call premium plus put premium) of an at-the-money straddle on A expiring in one month. You have an initial capital amount of C0 and execute the following strategy. - keep C in cash without interest, take short position in quantity. show that the equation for your capital amount Ct after one month is Ct=500+10 xSt if 0<=st<=1000, 20,500- 10 x st otherwise

Reference no: EM13895390

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