Option Pricing, Show that for any constant 0=a=1, C(aK1 + (1-a)K2) = aC(K1) + (1-a)C(K2), Finance Basics

Option Pricing, Finance Basics

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Show that for any constant 0=a=1,
C(aK1 + (1-a)K2) = aC(K1) + (1-a)C(K2)
where C(k) is the European option price with strike K. All the options in this question are assumed to be written on the same stock, and have same maturity date. Note: The butterfly is a special case when a=0.5.

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Option Pricing, Finance Basics

Related Discussions:- Option Pricing

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