Problem 6 Bookmark this page Problem 6 0.0/10.0 points (graded) 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 $30.00 and trades at $14.23 today, the second option (Option #2) has a strike price of $40.00. Currently, the stock price is equal to $40.82, and the one-year continuously-compounded risk-free rate is 3.00%. The stock does not pay dividends. What is the lowest price of the second option (Option #2) consistent with absence of arbitrage? HINTS: 1) Recall what you learned in class about convexity and options prices 2) Think of the stock as a call option with strike price o dollars Save