5. Consider the following two calls:

Both calls are written on shares of ABC Corporation, whose current share price is $100. ABC does not pay any dividends.

Both calls have one year to maturity.

One call has X1 = 90 and has price of 30; the second call has X2 = 100 and has price of 20.

The riskless, continuously compounded interest rate is 10 percent.

By designing a spread position (i.e., buying one call and writing another), show that the difference between the two call prices is too large and that a riskless arbitrage exists.