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What are convexity violations for the call

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Reference no: EM13648397

Given the call and put prices below

Strike 55 60 65
Call premium 20 16 11.50
Put premium 9 12.75 16.45

a. What are convexity violations for the call and put premiums?

b. What spread you would you use to effect arbitrage?

c. Demonstrate that the spread position is an arbitrage.

Reference no: EM13648397

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