Assume that the current stock price for Company A is $35 and its volatility is 15% per annum. Company A's stock pays no dividend. The risk-free rates are 1.5% per annum (continuously compounded) for all maturities. a) Calculate the Black-Scholes-Merton option price of a 6-month European call option with a strike price of $35. (2 marks) b) Suppose the price of the European put option on the same stock, with the same maturity and having the same strike price is $1.5. Is there an arbitrage opportunity? If yes, how would you exploit it? If no, explain why. (3 marks) Assume that the current stock price for Company A is $35 and its volatility is 15% per annum. Company A's stock pays no dividend. The risk-free rates are 1.5% per annum (continuously compounded) for all maturities. a) Calculate the Black-Scholes-Merton option price of a 6-month European call option with a strike price of $35. (2 marks) b) Suppose the price of the European put option on the same stock, with the same maturity and having the same strike price is $1.5. Is there an arbitrage opportunity? If yes, how would you exploit it? If no, explain why