I have a question that im not quite sure what to with. Any help would be greatly appreciated.
Consider call options C1, C2, and C3, with the same Expiry, but strikes K1,
K2 = (K1+K2)/2, and K3 respectively, with K1 < K3.
C2(S,t) <= (1/2)(C1(S,t) + C3(S,t))