Question: Given the call and put prices below Strike 55 60 65 Call premium 20 16 11.50 Put premium 9 12.75 16.45 a. What are convexity

Given the call and put prices below

Strike 55 60 65 Call premium 20 16 11.50 Put premium 9 12.75 16.45

a. What are convexity violations for the call and put premiums?

b. What spread you would you use to effect arbitrage?

c. Demonstrate that the spread position is an arbitrage.

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