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Business, 23.12.2020 01:40 DylanJF1339

You would like to be holding a protective put position on the stock of XYZ Co. to lock in a guaranteed minimum value of $100 at year-end. XYZ currently sells for $100. Over the next year the stock price will increase by 10% or decrease by 10%. The T-bill rate is 5%. Unfortunately, no put options are traded on XYZ Co., but call options are traded. If you replicate the payoff of the protective put portfolio using only the call option and the T-bill, what would be the cost of the replicating portfolio

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