(a) There is a 6-month at-the-money European call option on a share with strike price 100 that costs x. The initial price of the share is 100 and the risk-free interest rate is 10% per annum continuously compounded. For which values of x is there an arbitrage opportunity? Analyse such a strategy for x = 4 if such a value for x does indeed lead to arbitrage.

(b) There is a European call option with strike price 60 that costs 10 and a European put option with strike price 70 that costs 5. Analyse the profit-stock price relation of a trading strategy with long position on both options. When does this strategy lead to a profit?