9. Consider an investor with a position consisting of 1 long European call and 1 long European put, both having strike price of $50. The current underlying asset price is $50. The call price is $3 and the pat price is $2. With this position, if the stock price at maturity is above AND below, the investor CANNOT make a profit. A. 45,55 B. 48,53 C. 55,45 D. 47,53 E. 53,48 10. Suppose the underline stock price is $110, call price is $10, put price is $6, risk free is 5%, maturity of the options is 1 year, and strike price is $105. To take advantage of an arbitrage opportunity, we should A. Buy stock, buy put, sell call, and borrowing $100 B. Buy stock, buy put, sell call, and lending \$100 C. Sell stock, sell put, buy call, and lending \$io0 D. Sell stock, sell put, buy call, and borrowing $100 E. There is no arbitrage opportunity 11. A trader enters into 2 short futures contracts for 5,000 bushels of wheat per contract with futures price being $2.50 bushel. The initial margin per contract is equal to $2,500 and the maintenance margin per contract is equal to $1,500. The trader has $5,000 in his margin account just before the next settlement. How much can the futures price rise before this trader gets a margin call? A. 2.75 B. 2.70 C. 2.60 D. 2.55 E. 2.80 12. Assume that a stock price is currently at S=$40. It is known that in one year stock price will be either $50 or $30. The annual interest rate is rr=5%. Using a one-period risk neutral valuation methed, what is the fair price of a European call option with strike price X=45 and 1 year to maturity? A. 2.50 B. 1.50 C. 2.65 D. 2.86 E. 2.95