Problem 6 Show that the approximate formula 082 (C) 1+ 20 2 O(C) connecting the I(C) and the O(C) of plain vanilla European options is exact if the underlying asset pays no dividends and if the risk-free interest rates are zero. In other words: 0282 (C) 1+ = 0 2 O(C) Problem 6 Show that the approximate formula 082 (C) 1+ 20 2 O(C) connecting the I(C) and the O(C) of plain vanilla European options is exact if the underlying asset pays no dividends and if the risk-free interest rates are zero. In other words: 0282 (C) 1+ = 0 2 O(C)