Problem 3 The common stock of firm A has been trading in a narrow range around $20 per share for months, and you believe it is going to stay in that range for the next 3 months. The price of a 3-month call option with a strike price of $20 is $1.02. The risk-free interest rate is 1% per year a. [1pt) What must be the price of a 3-month put option at a strike price of $20? b. [1pt) What would be a simple options strategy using a put and a call to exploit your c. 4pts) Is there any arbitrage opporunity if the price of 3-month put option at a strike price of $20 is $0.87? If any, show the strategy to exploit this oppotunity