(ii) Consider a European call option on a non-dividend paying stock. Suppose that So is the current stock price. K is the strike price, T is the time to maturity and r is the continuously compounded risk-free interest rate. Which are the upper and lower bounds the price c of the European call option must satisfy? Taking into account such bounds, if so = 50, K = 48,7 = 3%, T = 0.5 and c=2, what arbitrage opportunities would exist? Describe the arbitrage strategy and compute the gain. [6]