•Suppose a call option at exercise price 100 sells for $8. A call option at exercise price 110 sells at $6, and a call
Posted: Fri Jul 01, 2022 7:47 am
•Suppose a call option at exercise price 100 sells for $8. A call option at exercise price 110 sells at $6, and a call optionat exercise 115 sells for $5. All three options have the sameexercise date. Suppose you contemplate a “butterfly” position(buy the low- and high-exercise price option, sell two calls at theexercise price 110). Show the payoff pattern you have createdby means of this butterfly. Explain.