9.10 Generalization(continued) Consider the portfolio that is: LONG A shares ShORT 1 derivative Figure 9.2 becomes SouA-f so-f Sod△-fa The portfolio is riskless when Sou△-fn=Sod△-fa or when △ f susd Options, Futures, and Other Derivatives, 4th edition@ 2000 by John C. Hull Tang Yincai, Shanghai Normal UniversityOptions, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, Shanghai Normal University 9.10 Generalization (continued) • Consider the portfolio that is: LONG D shares SHORT 1 derivative • Figure 9.2 becomes • The portfolio is riskless when S0uD – ƒu = S0d D – ƒd or when S u S d f f u d 0 − 0 − D = S0uD – ƒu S0 dD – ƒd DS0 - f