(11-4) need red only

The common stock of the C.A.L.L. Corporation has been trading in a narrow range around $95 per share for months, and you belleve it Is going to stay in that range for the next 3 months. The price of a 3-month put option with an exercise price of $95 is $6.00. a. If the risk-free interest rate is 9% per year, what must be the price of a 3-month call option on C.A.L.L. stock at an exercise price of $95 if it is at the money? (The stock pays no dividends.) (Do not round intermediate calculations. Round your answer to 2 decimal places.) c. How can you create a position Involving a put, a call, and riskless lending that would have the same payoff structure as the stock at explration? What is the net cost of establishing that position now? (Enter the absolute value. Do not round intermediate calculations. Round your answers to 2 decimal places. Leave no cells blank - be certain to enter " 0 " wherever required.) Answer is complete but not entirely correct