question 1 : b

MC 1-10: 1.5 Points each Q1: Show whether and how you can take advantage of the arbitrage opportunity, if any, in the following case (assume all options are European): Stock Price=$94 3-month call options with strike price $97 3-month out option with strike price $98. 1-Year risk-free is 3% is another put option with an exercise price b) Assume that the call option was trading for $4.5 and was correct, what then would be the price of the put option if the put option's exercise price were $977