Amazon Inc. (AMZN) currently trades for $110 a share. A 3-month at-the-money call option on AMZN trades for $10. All options are European and AMZN pays no dividends. The interest rate is 3% with continuous compounding.

a. What is the adjusted intrinsic value of the 3-month call option? b. What is the price of a 3-month at-the-money put option on AMZN? c. If the put option in (b) is trading for $10, is there an arbitrage opportunity and if so, what securities would you buy and/or sell to take advantage of it?