1. The current stock price of H2 is $65. It is certain that the stock pays $3 dividends in 1 month and 4 months. A European at-the-money put option with 5 months to maturity is traded for $6. A European at-the-money call option with 5 months to maturity is traded for $5. 1-month, 4-month and 5-month spot rates are 13%, 11% and 9.5% (c.c.). (a) Is there an arbitrage opportunity? If so, describe an investment strategy that pays off today and has for sure zero cash flows at any time in the future. (b) What level in the interest rate ensures that markets are arbitrage free? 1. The current stock price of H2 is $65. It is certain that the stock pays $3 dividends in 1 month and 4 months. A European at-the-money put option with 5 months to maturity is traded for $6. A European at-the-money call option with 5 months to maturity is traded for $5. 1-month, 4-month and 5-month spot rates are 13%, 11% and 9.5% (c.c.). (a) Is there an arbitrage opportunity? If so, describe an investment strategy that pays off today and has for sure zero cash flows at any time in the future. (b) What level in the interest rate ensures that markets are arbitrage free