Suppose that we have the following 4 European call and put options with the same maturity time T in the financial market:

Type Strike Price Price

Call 100 45

Call 110 40

Put 100 36

Put 110 42

Suppose that the continuous compounding interest rate r = 0:05 in the market and the maturity time T = 1. Can you choose a portfolio using some of the options from the table and the Bank account to nd an Arbitrage portfolio ? If yes, be specic about your Arbitrage portfolio. If no, prove your argument. (Hint: consider the put-call parity.)

Suppose that we have the following 4 European call and put options with the same maturity time T in the financial market: Type Strike Price Price 100 110 100 110 Call Call Put 45 40 36 42 Suppose that the continuous compounding interest rate T = 0.05 in the market and the maturity time T-1. Can you choose a portfolio using some of the options from the table and the Bank account to find an Arbitrage profit ? If yes, be specific about your Arbitrage portfolio. If no, prove your argument. (Hint: consider the put-call parity.)