Question

Your firm makes a zero cost contract with a bank to hedge the foreign exchange risk....

Your firm makes a zero cost contract with a bank to hedge the foreign exchange risk. In the contract you buy 1 down-and-out put with a barrier price of 900 and sell two up-and-in calls with a barrier price of 1000. Both options have a strike price of 950. At maturity the price of a foreign currency is 1030. What is your profit?

a. -160

b. 0

c. -130

d. 80

e. -80

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