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Suppose that c1,c2 and c3 are the prices of European call options with strike prices K1,K2 and K3, respectively, where K3>K2>K1 and K3K2= K2K1. All

image text in transcribed Suppose that c1,c2 and c3 are the prices of European call options with strike prices K1,K2 and K3, respectively, where K3>K2>K1 and K3K2= K2K1. All option have the same maturity. Show that c20.5(c1+c3) This condition must be satisfied by all European option prices with the same maturity, and is known as the butterfly arbitrage condition

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