ABC common stock trades at a market price of $100 There are traded European and American put and call options on ABC common stock with times to expiration of 1 year and exercise prices ranging from $80 to $120 in steps of $10. The risk free rate is 5% continuously compounded Consider the following statements Statement. If the market price of a European put option on ABC common stock with an exercise price of $110 is lower than its lower bound, a riskless arbitrage would involve buying the option, short-selling the stock and investing S104.64 in the risk free asset Statement II. Using the put-call parity relationship, a long position in the risk free asset with a face value of $100 and a time to maturity of 1 year can be created by buying ABC common stock, buying a European put on the stock and writing a European call on the stock with exercise prices of $100 and times to expiration of 1 year Which of the following is correct? Select one O a Statements I and I are correct Ob Statement is correct, Statement Il is incorrect. O c. Statement is incorrect, Statement is correct. Od Statements I and II are incorrect N On March 25, 2021, the wheat futures contract traded on the CME Group with a delivery month in May 2021, has a tutures price of 611 cents per bushel On the same date, the open futures position of long and short hedgers in the contract is 16,495 and 18,504 contracts, respectively According to Keynes' and Hicks theory of the relationship between the futures and expected future spot price, which of the following is correct? Select one a The expected future spot price of wheat in May 2021 should be lower than $6.11 bushel b. The expected future spot price of wheat in May 2021 should be higher than 56 11 per bushet O c The expected future spot price of wheat in May 2021 should be equal to $6.11 per bushel