Assume that the initial index value is S0 = $100, the strike price in the put option is K1 = $90, and the strike price i

[answerhappygod]

Assume that the initial index value is S0 = $100, the strike
price in the put option is K1 = $90, and the strike price in the
call option is K2 = $110. The split-strike conversion strategy
consists of buying one share of the index, buying a put option on
the index, and selling a call option on the index. Consider two
alternative strategies: (1) buy and hold the S&P 500 index and
(2) the split-strike conversion strategy. Assume that the
investment horizon is T = 1 year.
a) Write down the formulas that show how the profit to each
strategy is computed.