Which of the following is equivalent to a long position in a European call option?
A. A short position in a cash-or-nothing put option plus a long position in an asset-or-nothing put option
B. A long position in an asset-or-nothing put option plus a long position in a cash-or-nothing put option
C. A long position in an asset-or-nothing call option plus a long position in a cash-or-nothing call option
D. A long position in an asset-or-nothing call option plus a short position in a cash-or-nothing call option
D
A long position in a European call is equivalent to a long position in an asset-or-nothing call option (this is worth S0N(d1)) and a short position in a cash-or-nothing call option (this is worth –Ke-rTN(d2))
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