# For K 0, let C(K) denote the price of a K-strike European call option on a

## Question:

For K ≥ 0, let C(K) denote the price of a K-strike European call option on a stock. Let 0 1 2. Define Kλ = λK_{1} + (1 − λ)K_{2}, where λ is a real number, not necessarily between 0 and 1.

(a) Determine all values of λ for which

(b) Determine all values of λ for which

Explain your reasons.

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