(a)The price of a European put that expires in 9 months and has a strike price of $41 is $2. The underlying stock price is $39, and a dividend of $0.60 is expected in three months and again in seven months. Risk-free interest rates for all maturities are 9.5%. What is the price of a European call option that expires in nine months and has a strike price of $41?

(b)Suppose the price of European call option is 4. Develop a strategy to take advantage of arbitrage opportunities and demonstrate how arbitrager can lock in a guaranteed positive profit for any values of underlying stock at the maturity.

(c)Suppose that all inputs are the same as in part (a), except the options are American but not the European. What is the price of an American call option that expires in nine months and has a strike price of $41?