1. A European call option with 1 year of maturity is on sales at $10 with an underlying asset A with current price $30. The strike price of the call is $35. The effective discount rate is 5% yearly. (a) If you hold a long position of this call option, what is your payoff at maturity if the price of A... i. (1 point) reaches $30. ii. (1 point) reaches $40. (b) A European put option with 1 year of maturity is on sales at $15 with an underlying asset A with current price $30. The strike price of the put is also $35. i. (2 points) Under put-call parity, this put price is incorrect. Is this put overpriced or under- priced? Explain with put-call parity formula. ii. (3 points) Construct a portfolio with this call and put such that you earn risk-free income. Show the full step and the payoff in each scenario