= (30 marks) 2 (a) So = 2.15; X = 2.30; T = 3 months; r = 0.04; Call price C = 0.18; Put option price P = 0.24. Are these options mispriced? If so, construct an arbitraged based strategy to take advantage of this mispricing. Why is this arbitrage strategy appropriate? 2 (b) (30 marks) Bank of America is currently trading at $25. You expect its share price will fall, but a fall below $21 is unlikely. Options on Bank of America are available with exercise prices of $21.50, $24.00, $26.50 and $29.00. What options-based trading strategy would you structure to incorporate your views? Why would you structure this strategy? Detail the components of the strategy. (40 marks) 2 (c) Consider a 4-month European put option on a share where the current share price is 20 pence, the exercise price is 22 pence, the risk-free interest rate is 2.25% per annum, and the volatility of the underlying share is 25% per annum. (i) Use a two-time-step tree to calculate the price of the European put option. (ii) If the put option was American, with all other characteristics the same, what would be the price of the option