Consider two European call options on the stock of XYZ. Both options mature one year from now. The first option (Option #1) has a strike price of $35.0 and trades at $23.7 today; the second option (Option #2) has a strike price of $55.0. Currently, the stock price is equal to $59.1, and the one-year continuously-compounded risk-free rate is 5%. The stock does not pay dividends

What is the highest C2 value of option 2 that doesn't make an arbitrage?

see the hint below

Great job! You are one step away from the correct answer. But this is the most challenging step, so you will need to play with payoff graphs and think. You need to construct a portfolio that consists of Option #2 and the stock that provides at least as high payoff at expiration as Option #1. Importantly, this portfolio may have fractions of Option #2 and the stock. For example, 1/4 of Option #2 and 3/4 of the stock. We've increased the number of attempts in this question to 15 to let you experiment.