Question 2: Say a European call option, FB stock being the underlying asset, is priced at $8.5. The strike price of the option is $225 and the option expires in 6 months. Today FB's stock price is $206 and the annualized standard deviation of the stock's return is 22%. The annual risk-free interest rate is 2.5% (you can both lend and borrow at this rate). A) According to no arbitrage principle (put-call parity), find out the European put option price with same underlying asset, same maturity and strike price. B) If the put option is priced at $11.5, explain the investment strategy that would benefit you from the arbitrage opportunity. c) If the put option is priced at $5.5, explain the investment strategy that would benefit you from the arbitrage opportunity. For Both B and C: a. Clearly specify your investment strategy, b. Show the cash flow at time 0. c. Show the cash flow at maturity. d. Explain why it is an arbitrage