Consider Two Six-Month European Calls at Strikes 90 and 100 $C ( 90 ) - C ( 100 )$

question 12

Multiple Choice

Consider two six-month European calls at strikes 90 and 100. The risk free rate is 2%. Which of the following alternatives best describes the condition that must be met by the difference in prices $C ( 90 ) - C ( 100 )$ ?

• A) It must be strictly less than $10.
• B) It must be less than or equal to $10.
• C) It must be strictly greater than $10.
• D) There is insufficient information to answer this question.

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