Question

Consider the June 165, 170, and 175 call option prices in Table 9.1.
a. Does convexity hold if you buy a butterfly spread, buying at the ask price and selling at the bid?
b. Does convexity hold if you sell a butterfly spread, buying at the ask price and selling at the bid?
c. Does convexity hold if you are a market-maker either buying or selling a butterfly, paying the bid and receiving the ask?


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  • CreatedAugust 12, 2015
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