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Suppose you have three call options on the market, with strikes 10, 20, and 30. Suppose the call option with strike 10 costs $12, the call option with strike 20 costs $7, and the call option with strike 30 costs $1. Does there exist an arbitrage opportunity?
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Strategist In Private Wealth Management

Interviewed at Goldman Sachs

3.7
Jan 17, 2012

Suppose you have three call options on the market, with strikes 10, 20, and 30. Suppose the call option with strike 10 costs $12, the call option with strike 20 costs $7, and the call option with strike 30 costs $1. Does there exist an arbitrage opportunity?

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