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Consider 3 call options of the same maturity and strikes K(1), K(2) and K(3) respectively, such that K(1) < K(2) < K(3) and K(2) K(1)
Consider 3 call options of the same maturity and strikes K(1), K(2) and K(3) respectively, such that K(1) < K(2) < K(3) and K(2) K(1) = K(3) K(2). Can one conceivably have a situation whereby the price of the option of strike K(2) is strictly higher than the average between the prices of the options of strikes K(1) and K(3)?
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