Assume the price of a non-dividend paying stock is $24, the strike price is $25, and the risk free rate is 6% based on continuous compounding.

(a) Find the lower bound price for an 8-month European call option on the stock.

I believe the lower bound is equal to 24-25e^-0.06*0.6667 = -$0.0197, so it is worthless at zero.

(b) If the actual market value of the call is $1, is there an arbitrage opportunity? If so, explain how to capture the profit and the value of the arbitrage trade. No volatility level is given in this problem. Can it be solved without one?