Question 3 (15 marks) The following information is available for the put and call options on the stock of Gorton Limited, which currently have 139 days to expiration: Current Stock Price $67.32 Exercise Price (Strike) $70 Call Price Put Price (Premium) (Premium) $4.50 $6.80 The current risk-free rate is 5%. Required: (a) Use put-call parity to calculate prices of the following: Synthetic call option i. ii. Synthetic put option iii. Synthetic bond iv. Synthetic underlying stock (8 marks) (b) Identify the arbitrage opportunity that exists because of the mispricing of the call option. (3 marks) (c) Briefly define the four option price sensitivity measures, which are commonly referred to as the option 'Greeks'. (4 marks)