Question
Suppose call and put prices are given by: Strike 80 100 105 Call Premium 22 9 5 Put Premium 4 21 24.8 Find the convexity
Suppose call and put prices are given by:
| Strike | 80 | 100 | 105 |
| Call Premium | 22 | 9 | 5 |
| Put Premium | 4 | 21 | 24.8 |
Find the convexity violations by computing the change in premium per dollar change in the strike price. What spread would you use to effect arbitrage? (Hint: 1:5:4) Demonstrate that the spread position is an arbitrage.
(please show detailed working!!)
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Valuing Agile The Financial Management Of Agile Projects
Authors: Alan Moran
1st Edition
0117082880, 9780117082885
