Question 11: The stock price is 100. There are three European call options in the market, with the strike price K and the option price C respectively K 95 20 100 105 15 10 assume no dividends issued by stocks. Is there an arbitrage opportunity in the market and why?

ENGR.ECONOMIC ANALYSIS
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ISBN:9780190931919
Author:NEWNAN
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Chapter1: Making Economics Decisions
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Question 11: The stock price is 100. There are three European call options in the market, with the strike
price K and the option price C respectively
K
|100
95
20
105
C
15
10
assume no dividends issued by stocks.
Is there an arbitrage opportunity in the market and why?
Transcribed Image Text:Question 11: The stock price is 100. There are three European call options in the market, with the strike price K and the option price C respectively K |100 95 20 105 C 15 10 assume no dividends issued by stocks. Is there an arbitrage opportunity in the market and why?
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