8) A six month European put with a strike price of $35 is available for $3.The underlying stock price is $34 and stock does NOT pay dividends. The term structure is flat, with all risk free interest rates being 8% for all matunties a) What is the price of a six month European call option with a strike price of $35? (4 points) : 512 ka 35 31 6767s P: 2 677 b) The European call price is $4.5 in the market. State what an arbitrageur should do today in order to exploit any arbitrage opportunity. (5 points) 457 26276 9) A stock is currently trading at $55. For this stock, a three month put option with a strike price of $59 is available for $5. Three month call option with the same strike price is worth S1. You would like to construct a protective put. a) What positions do you need for a protective put? (2.5 points) b) State what the pay-off structue of protective put is similar to? (Hint: you can make use of put- call parity) (2.5 points