3. Option Pricing 1: The current price of a non-dividend paying stock is $100. You also collect additional information on a series of European options written on the stock. Options with the same characteristics are grouped into three sets: A, B, and C: (15 points) Set Maturity (in years) Call A 1 7.5 B 1 c 12.12 Put Strike 15.35 XA 49.5 150 4.5 100 CB The interest rate is r = 2% per year. (a) Assuming no-arbitrage, find the missing information in the table above, XA, CB, and Tc. (5 points) (b) Consider the following trading strategy: buy one call option A and sell one call option B. You would like to generate a holding period return of 25% when the options expire in a year. What price of the underlying asset in a year, S. would give you such a return. (5 points) (c) Suppose that the European call option in set B, CB, is currently trading for $2. Is there an arbitrage opportunity? If so, explain how can you take advantage of it.(5 points)