1. There are assets below: 100 Pu=05500 400 pa Stock 300 1.1 p Risk-free asset But 100 (a) Calculate the call and put option prices (c and p) using a repli- cating portfolio approach. (b) Calculate the call and put option prices using an equivalent mar- tingale measure (use the risk-free asset as a numeraire). (c) Calculate the call and put option prices using an equivalent mar- tingale measure (use the stock as a numeraire). (d) Calculate the call and put option prices using the Arrow-Debreu state prices. (e) Show that the put-call parity holds in this market. (f) If p = 25 or p= 30, show the arbitrage using stock and bond. (g) If c = 60 or c= 80, show the arbitrage using the put-call parity. (h) What is the strike level that makes c=p? 1. There are assets below: 100 Pu=05500 400 pa Stock 300 1.1 p Risk-free asset But 100 (a) Calculate the call and put option prices (c and p) using a repli- cating portfolio approach. (b) Calculate the call and put option prices using an equivalent mar- tingale measure (use the risk-free asset as a numeraire). (c) Calculate the call and put option prices using an equivalent mar- tingale measure (use the stock as a numeraire). (d) Calculate the call and put option prices using the Arrow-Debreu state prices. (e) Show that the put-call parity holds in this market. (f) If p = 25 or p= 30, show the arbitrage using stock and bond. (g) If c = 60 or c= 80, show the arbitrage using the put-call parity. (h) What is the strike level that makes c=p