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1. (10 pts) The bid and ask prices for 9 months ATM European options on an underlying asset paying 1% dividends continuously with spot price

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1. (10 pts) The bid and ask prices for 9 months ATM European options on an underlying asset paying 1% dividends continuously with spot price $60 are Cbid=6;Cask=6.5;Pbid=5.5;Pask=6. Assume you can deposit and borrow money at 2.98% and at 3.01% respectively. Is there an arbitrage opportunity present, and, if so, how would you take advantage of it

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