8.22. Suppose that c1, c2, and c3 are the prices of European call options with strike prices...
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8.22. Suppose that c1, c2, and c3 are the prices of European call options with strike prices X1, X2, and X3, respectively, where X3 > X2 > X1 and X3 - X2 = X2 - X. All options have the same maturity. Show that
(Hint: Consider a portfolio that is long one option with strike price X1, long one option with strike price X3, and short two options with strike price X2.)
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