Suppose you buy a 950-strike S&R call, sell a 1000-strike S&R call, sell a 950-strike S&R put, and buy a 1000-strike S&R put. a. Verify that there is no S&R price risk in this transaction. b. What is...

Suppose you buy a 950-strike S&R call, sell a 1000-strike S&R call, sell a 950-strike S&R put, and buy a 1000-strike S&R put.

a. Verify that there is no S&R price risk in this transaction.

b. What is the initial cost of the position?

c. What is the value of the position after 6 months?

d. Verify that the implicit interest rate in these cash flows is 2% over 6 months.