Past exam of the mathematics course of the University of Cambridge / 2015 / iii / Paper 40 / 5 / b / Solution

For every integer $m\in \{0,\dots ,N\}$,Thus the static replication on a finite terminal support consists of one share and two calls of every listed strike, held to maturity:The strike-$N$ call contributes zero at maturity but is harmless in this identity. The portfolio costs $S_0+2{\sum }_{K=1}^N{C}_0(K)$. No distributional assumption on the stock is needed beyond its stated terminal support.