Answer Happy

QUESTION 3.
a. You buy a 1-year put option and sell the corresponding
call option. Both options are written on 1 share of IBM
stock and both have an exercise price of $92. In addition, you
also buy 1 share of IBM stock. What is the
net payoff you receive from this 3-asset
portfolio if at expiration the price of each share of IBM stock is
$41?
b. A European PUT option written on one share of Deadwood Lumber
Co. stock has the following
parameter values: S = $28, X = $30, r = 5% p.a., =
30% p.a., T = 9 months. Find the premium of this
option, rounded to 2 decimals (e.g., 1.15; do NOT include
a dollar sign in your answer). NOTE: Use the continuous time
version of the Black-Scholes and Put-Call
Parity equations (i.e., do NOT use the book's version).
c. A put option expires $11 in the money, meaning that
the option's payoff is $11. What is the payoff at expiration
of the "corresponding" call option; that is, a call
option with the exact same parameter values as the put
option?