Problem

17. (Difficult) Suppose there are five call options C(K)1 i.e., {C(80,) C(90), C(100), C(1...

17. (Difficult) Suppose there are five call options C(K)1 i.e., {C(80,) C(90), C(100), C(110), C(120)}. The prices of two of these are C(110) = 4, C(120) = 2. Find the best possible lower bound for the call option C(80).

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Solutions For Problems in Chapter 9