Suppose call and put prices are given by Find the convexity violations. What spread would you use
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Find the convexity violations. What spread would you use to effect arbitrage?
Demonstrate that the spread position is an arbitrage.
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Strike 80 100 105 Call premium 22 95 Put premium 21 2480
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Both equations 919 and 920 of the textbook are violated To see this let us calculate the values We h...View the full answer
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