What is the fair price for this portfoilio

Reference no: EM13258768

You want to sell a portfolio of European options. The portfolio contains a long position in a 20-strike call, a long position in a 30-strike put, a short position in a 30-strike call, and a short position in a 20-strike put. The expiration date of the options are six months from now. The risk free interest rate is 5% per annum. What is the fair price for this portfoilio. Why?

Reference no: EM13258768

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