Six months European call and put options with the same strike price of 15 are trading at 5 and 7 respectively. The stock price is 10 and the risk-free interest rate is 2.5%. (a) Verify that pull-call parity is not satisfied in this case. [3] (b) Construct a portfolio that creates an arbitrage opportunity. Give the value of the portfolio you have constructed, both at present time and at maturity time. Give the risk-free profit generated by this portfolio. [7]