hard · FRM Part 1 Valuation and Risk Models
An investor constructs a collar by holding 1,000 shares of a stock currently trading at 50, buying 10 protective puts with a strike of 45 for 1.50 each, and selling 10 covered calls with a strike of 55 for 1.20 each.
If the stock price at expiration is 42, what is the total value of the investor's position (ignoring the time value of money and transaction costs)?
- $41,700
- $42,000
- $45,300
- $44,700
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