Price a European straddle: one call and one put option on a stock with a price of $80, both with strike prices of $75, a 5% risk-free rate of return, and a standard deviation of return of 20% on the underlying stock.
(a) What is the price of the position if there are 3 months to maturity?
(b) What is the price if nothing changed and there is only 1 month left to maturity?
(c) What is the price at expiration?