a The spot price of a non-dividend-paying stock is $100 per share. The price of a 6-month at the money European call option on this stock is $8. Suppose that the risk-free rate is always 2% per annum with continuous compounding. (a) What is the price of a 6-month at the money European put option on this stock? (b) If the price of the put option in (a) is $6, what is the arbitrage opportunity? Provide your strategy in detail