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Same information as above: Suppose you are allowed to trade the following financial instruments (assume...

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Finance

Same information as above:

Suppose you are allowed to trade the following financial instruments (assume that each option contract covers one share of stock A, e.g., a call option allows you to buy one share of A at the strike price if you want):

[1] Stock A which is traded at $80 now [2] The 1-year to maturity European call option on stock A with a strike price of $60; [3] The 1-year to maturity European put option on stock A with a strike price of $60; [4] The 1-year to maturity European call option on stock A with a strike price of $80; [5] The 1-year to maturity European put option on stock A with a strike price of $80; [6] The 1-year to maturity European call option on stock A with a strike price of $100; [7] The 1-year to maturity European put option on stock A with a strike price of $100; [8] The 1-year zero-coupon bond with a YTM of 5%;

Suppose you hold a portfolio as follows: sell one contract of [3], buy two contracts of [5], buy three contracts of [7], and buy three shares of stock A. What is the slope of portfolio payoff, if stock As price is between 100 and 120 on date of expiration?

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