1. [3 marks] Consider a European Call Option on a stock index with 6 months to expiration and a strike price of $1035. Suppose that the effective 6-month interest rate is 3% and that the call costs $20 today. The price that the index must be in 6 months so that being long in the call would produce the same profit as being short in the call is: A) $1045.82 B) $1023.57 C) $1055.60 D) $1064.33 E) None of these 2. [3 marks] Consider calls and put options on the index ABC, expiring today. We only have the following information about these options: 1) The 80-strike call option is in-the-money. 2) The 85-strike put option is in-the-money Then the pay-off for the 90-strike put option on the index ABC satisfies: A) payoff = 0 B) ()