I tried a lot of different things to check for arbitrage on the following calls but didn't succeed.
Let's suppose we have a stock that is currently valued at 40. The interest rate is 0.05 and the strike price of the european calls is 35.
Call 1: price 6.75, run time 6 months
Call 2: price 7.93, run time 9 months
Call 3: price 7.76, run time 12 months
I know that a lower price of Call 3 with longer duration in comparison to call 2 indicates arbitrage, but I don't know how to prove it. I hope someone can assist with an arbitrage strategy.