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Which of the following pairs of options result in mispricing and arbitrage opportunity? I. Call(50)...

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Finance

Which of the following pairs of options result in mispricing and arbitrage opportunity?

I. Call(50) = $4 and Call(55) = $2

II. Put(50) = $4 and Put(55) = $2

III. Call(40) = $6 and Call(45) = $8

A.

I only
B.

II only
C.

I and II only
D.

I and III only
E.

II and III only
F.

III only
G.

None

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