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Prove the value of the portfolio is the same as the value

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Reference no: EM132944614

Problem 1: Describe the terminal value of the following portfolio: a newly entered-into long forward contract on an asset plus a long position in a European put option on the asset with the same maturity as the forward contract and a strike price that is equal to the forward price (delivery price) of the asset at the time the portfolio is set up. Denote the delivery price as K and the asset price as ST at maturity. Prove the value of the portfolio is the same as the value of a European call option with the same strike price and maturity.

Reference no: EM132944614

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