Give optimal no-arbitrage bounds on a call option struck

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A stock is worth 100 today. There are no interest rates. It will be worth one of 85, 95, 105 and 115 tomorrow. Give optimal no-arbitrage bounds on a call option struck at 100. If the call option struck at 100 is worth 5, give optimal no-arbitrage bounds on a call option struck at 110.

Reference no: EM131168911

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