I want to know the answer of question 2 part a-c, it is about call option arbitrage opportunity.

STERN SCHOOL OF BUSINESS - UNDERGRADUATE DIVISION NEW YORK UNIVERSITY C15.0043-001 Futures and Options Menachem Brenner Professor PROBLEM SET 4 1. for: The following three call options on gold, all expiring in three months, sell Exercise price Option price $1350 $1400 $1450 $104 $ 78 $ 57 Consider the following position: buy 1 call with K = 1350 sell (write) 2 calls with K = 1400 buy 1 call with K = 1450 What would be the values at expiration of such a spread for various prices of spot gold? What investment would be required to establish the spread? Given information about the Exercise prices of the $1350 and $1450 options, what could you predict about the price of the $1400 (exercise) option? 1 2. What strategy (arbitrage) will assure a profit if options on GOLD are priced as follows: a. C(K = 1300, T1 = Feb.) > C(K = 1300, T2 = April) b. C(K = 1320, T1 = Feb.) > C(K = 1300, T1 = Feb.) c. C(K = 1300, T1 = Feb.) > C(K = 1320, T2 = April) d. C(K = 1300, T1 = Feb.) C(K = 1300, T1 = Feb.) Show the strategy and explain briefly. 2 T 2 > T1