Problem 6 Consider option on a stock currently trading at So $100. Suppose that a European call struck at K = $100 expiring in one year trades for $22 and a European put struck at K = $100 expiring in one year trades for $10. Suppose the firm has announced that there will be no dividends. Tthe risk-free rate is 5% (EAR) and you can borrow and save at this rate. (a) Find an arbitrage. (b) Suppose instead that the stock has a dividend of $10 that is to be paid in 3 months. Would the trade in (a) still an arbitrage? (c) Suppose that the put is instead struck at K the trade in (a) still an arbitrage? = 110 (but everything else is the same.). Would