Problem 1. (10 points) On the market there are an American put option and an American call option with the same strike price X = $90 and expiry time in six months (T = 1). The current stock price is $(0) = $90, the continuously compounded interest rate is r = 10% and the call and put prices are CA = $12 and PA = $2. Construct a portfolio and show that your portfolio gives an arbitrage opportunity. Problem 1. (10 points) On the market there are an American put option and an American call option with the same strike price X = $90 and expiry time in six months (T = 1). The current stock price is $(0) = $90, the continuously compounded interest rate is r = 10% and the call and put prices are CA = $12 and PA = $2. Construct a portfolio and show that your portfolio gives an arbitrage opportunity