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January 28th, 2013, 06:22 AM   #1
Joined: Jan 2013

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Propose a portfolio of European call and put options
with various strike prices for the eventual price of
CBC (Certain Base Commodity) which has a prescribed
payoff (premium) function P. Namely, P is piecewise
linear and continuous with the values at nodal points
P(0) = 0, P(2) = 12, P(4) = 8, P(5) = -4, P(6) = 8,
P( = 12, P(10) = 0 and P(x) = 0 for x > 10.

Attn. Try to have&emit(sell) as few options as possible

thank you!!
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