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What is the result corresponding to that in Problem 10.23 for European put options?
Problem 10.23:
Suppose that c1, c2, and c3 are the prices of European call options with strike prices K1, K2, and K3, respectively, where K3Â > K2Â > K1Â and K3Â K2Â = K2Â K1. All options have the same maturity. Show thatÂ
(Hint: Consider a portfolio that is long one option with strike price K1, long one option with strike price K3, and short two options with strike price K2.)
Â
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