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Question 1. Suppose S(0) = $90, and the continuously compounded interest rate is 5%. 1-a) Find values of K such that the price of

Question 1. Suppose S(0) = $90, and the continuously compounded interest rate is 5%. 1-a) Find values of K such that the price of a call option with strike K is greater than the price of a put option with strike K, both with maturity date of 1-year. 1-b) Suppose C = 16. What is PE with the same maturity date? 1-c) Now, suppose at the money American options priced as C(0,90) = = 7 and P(0.90)=2 Construct a portfolio admitting an arbitrage. VEN

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