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We observe the following call options and exercise prices. They are all written on the same stock with the same time to maturity.
Options
Exercise Price
Call Value
1
62
10.89
2
63
8.91
3
68
4.41
4
72
0.45
A. Suppose you only have access to options 1, 2 and 3. Is there an arbitrage opportunity among all three options? If yes, please suggest a trading strategy and calculate the expected profit.
B. Suppose you only have access to two of the first three options at a time. Is there an arbitrage opportunity? Assume that the time to maturity is 1.15 years and that the continuously compounded interest rate is 2.85% p.a.
C. Suppose you only have access to options 2, 3 and 4. Is there an arbitrage opportunity among the three options? If yes, please suggest a trading strategy and calculate the expected profit.
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