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 Call premium 18 14 Put premium 7 0.75 14.45 50 55 60 9.50
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Both equations 919 and 920 of the textbook are violated To see this ...View the full answer
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