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Suppose European call prices are given by Strike 40 44 45 Call premium 3.5 1.80 1.2 (a) Give an arbitrage portfolio that can be used

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Suppose European call prices are given by Strike 40 44 45 Call premium 3.5 1.80 1.2 (a) Give an arbitrage portfolio that can be used to take advantage of the above call premiums (4 points) (b) Show that the portfolio you have written in your answer to (b) is an arbitrage portfolio. (5 points)

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