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Let C(K) denote a European vanilla Call option with strike price K. Assume that all options are identical except for strike price, and strike prices satisfy (K1) < (K2) < (K3) and 2 (K2) = (K1 + K3)
What are the noarbitrage lower bound, and the noarbitrage upper bound, of the vertical spread C(k1)  C(k2) ?
Derive the functional relationship between the noarbitrage values of the two vertical spreads,
C(K1)  C(K2) and C(K2)  C(K3)
Posted Date: 5/4/2012 2:56:09 PM  Location : United States
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