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Category > Business & Finance Posted 19 Aug 2017 My Price 6.00

Suppose call prices are given by Strike 80 100 105 Call Premium 22 9 5 Find the convexity violations.

Suppose call prices are given by

                Strike    80      100    105

   Call Premium    22           9       5

Find the convexity violations. What spread would you use the effect arbitrage? Demonstrate that spread position is an arbitrage by creating a table, which shows possible profit opportunities at the time to maturity. Assume option's time to maturity in 1 year and continuously compounded interest rate is 4%.

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Martinakom
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Status NEW Posted 19 Aug 2017 11:08 AM My Price 6.00

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