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Suppose S = 100 and there are both a 9-month European call and a 9-month European put with K = 100. The continuously compounded risk-free

Suppose S = 100 and there are both a 9-month European call and a 9-month European put with K = 100. The continuously compounded risk-free rate is 5%, and there are no payouts. (i) The call currently trades at a price of 14.087. What is the Black-Scholes implied volatility?

(ii) The put trades at an implied volatility of 36.85%. Is there an arbitrage opportunity here? If so, how would you take advantage of it and what are the cash flows?

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