Amazon stock is trading at $2000 while a European put option on Amazon that expires in one year with strike price $2100 is trading at $200. The risk free annual interest rate is 5% and the short rebate on Amazon is also 5%. Please use simple compounding of interest in all calculation for this problem

a. What is the fair value for the one year Amazon forward price ?

b. Using put/call parity with simple compounding of interest, find the price of a European call option on Amazon that expires in one year with strike price $2100. You may assume there is no arbitrage in the market.

c. The price of Amazon suddenly rises 10% over the next hour from $2000 to $2200, while the market price of the one year Amazon forward remains unchanged at the fair value you found in part a. Does an arbitrage opportunity exist ? If so, specify the exact components of the portfolio you need to capture the arbitrage, and the exact arbitrage profit.