Problem 5 (Put option versus call option) Suppose the risk-free interest rate per annum is r. Consider two portfolios: - Portfolio A: consists of 1. a European call option of the AIA stock at strike price K, with an expiration date =1 year 2. an amount of money $K/(1+r) in a risk-free savings account - Portfolio B: consists of 1. a European put option of the AIA stock at strike price K, with an expiration date =1 year 2. one share of the AIA stock There are two possible scenarios on the expiration date: "up" scenario: the price of the AlA stock SK. "down" scenario: the price of the AlA stock S