3 Butterfly spread . The stock price is S 100 5. The dividend yield is 1 1% The volatility is -45%. The risk-free interest rate is r 5% The current time is t0 and the expiration time is T I Create a butterfly spread using European call options with a spacing of K: (5.9) Set AK 1 below . The value of the butterfly spread is small, so let us multiply by 100 and compute X = 100 Boan(K) , (5.10) . Calculate the fair value of a European call butterfly spread (x100) using the Black-Scholes formula, for the following strikes 50 75 100 125 150 . If you have done your work correctly, the answers should all be positive I K2 (Ki + K3)/2, thecal values e, c2 and c from the Black-Scholes formula satisfy the inequality . The Black-Scholes formula for a European call is a convex function of the strike price 15 3 Butterfly spread . The stock price is S 100 5. The dividend yield is 1 1% The volatility is -45%. The risk-free interest rate is r 5% The current time is t0 and the expiration time is T I Create a butterfly spread using European call options with a spacing of K: (5.9) Set AK 1 below . The value of the butterfly spread is small, so let us multiply by 100 and compute X = 100 Boan(K) , (5.10) . Calculate the fair value of a European call butterfly spread (x100) using the Black-Scholes formula, for the following strikes 50 75 100 125 150 . If you have done your work correctly, the answers should all be positive I K2 (Ki + K3)/2, thecal values e, c2 and c from the Black-Scholes formula satisfy the inequality . The Black-Scholes formula for a European call is a convex function of the strike price 15