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5228金融与交易困难数值题short

Box Spread Implied Rate 3

题目

Consider a box spread built from strikes 80 and 95: long call(80) at 14, short call(95) at 6, long put(95) at 10.1, and short put(80) at 4.5. For maturity T=1.5, what is the net cost today and the implied annualized lending rate under annual compounding?

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cost

implied_rate