10 10 2 points For two call options on the same underlying asset and same time...
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10 10 2 points For two call options on the same underlying asset and same time to maturity, the relationship c(K1) c(K2) K2 K, for K < K2 must hold. Otherwise, there is an arbitrage opportunity. Given the following option prices: 1, Strike Premium 645.00 63.20 650.00 99.00 655.00 57.50 660.00 89.85 Among the four calls, there is one pair for which the above relationship is not hold and thus, one can make arbitrage. To do so, one should buy option with strike price type your answer... , and sell option with strike price type your answer... The minimum profit is type your answer... and the maximum profit is type your answer... 10 10 2 points For two call options on the same underlying asset and same time to maturity, the relationship c(K1) c(K2) K2 K, for K < K2 must hold. Otherwise, there is an arbitrage opportunity. Given the following option prices: 1, Strike Premium 645.00 63.20 650.00 99.00 655.00 57.50 660.00 89.85 Among the four calls, there is one pair for which the above relationship is not hold and thus, one can make arbitrage. To do so, one should buy option with strike price type your answer... , and sell option with strike price type your answer... The minimum profit is type your answer... and the maximum profit is type your answer...
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