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4. A call option and put option with the same strike price $15 and maturity 1 year are on sales in the market. Their underlying
4. A call option and put option with the same strike price $15 and maturity 1 year are on sales in the market. Their underlying asset are both the same one with current price $13. Risk-free rate is 4%. (a) If the call option and put option is now priced at $4 and $6... i. (2 points) Check if the put price and call price follows put-call parity. ii. (3 points) Construct a portfolio to earn risk-free profit using put-call parity. Analyze the payoff in each scenario. (b) If the call option is at $1, i. (2 points) Assume the $1 call price is found using binomial pricing model. The information we know right now is that the asset price will either raise to $17 or raise to $y, where y
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