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Suppose you see three-month European calls with strikes of 900, 1,000, and 1,100, all on...

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Suppose you see three-month European calls with strikes of 900, 1,000, and 1,100, all on the same underlying trading, at 142, 84, and 46, respectively. Three-month zero coupon bonds are trading at 0.9901 per dollar of face. If you buy a butterfly, financing the purchase by borrowing on a three-month term, for what underlying prices will you realize a profit in three months? a. if and only if the underlying price at maturity is between $920.20 and 1,079.80. O b.if and only if the underlying price at maturity is between $900 and 1,100. c. If and only if the underlying price at maturity is between $920 and 1,079. O d. if and only if the underlying price at maturity is between $919.80 and 1,080.20

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