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Posted on Jun 24, 2024

Call options with strikes of $30, $35, and $40 have option premiums of $1.50, $1.70, and $2.00, respectively. Using strike price convexity, which option premium,

Call options with strikes of $30, $35, and $40 have option premiums of $1.50, $1.70, and

$2.00, respectively. Using strike price convexity, which option premium, if any, is not possible?

a) C(30)

b) C (35)

c) C (40)

d) All are possible

Answer is D) All are possible, but I don't understand how to obtain the answer. Can you please explain?

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