Question 5: a. Show that the cost of butterfly spread created from European puts is identical to the cost of butterfly spread created from European calls. (4 marks) b. A 3-month European call option on a non-dividend-paying is currently selling for $2.50. The current stock price is $37, the strike price is $34 and the risk-free rate is 6% for all maturities. What opportunities are open to an arbitrageur? How much is her/his arbitrage profit? (4 marks) Question 5: a. Show that the cost of butterfly spread created from European puts is identical to the cost of butterfly spread created from European calls. (4 marks) b. A 3-month European call option on a non-dividend-paying is currently selling for $2.50. The current stock price is $37, the strike price is $34 and the risk-free rate is 6% for all maturities. What opportunities are open to an arbitrageur? How much is her/his arbitrage profit? (4 marks)