The price of a European call that expires in eight months and has a strike price of $89 is $8.25. The underlying stock price is $91, and a dividend of $1.55 is expected in four months. The risk-free interest rates for four months and eight months are 8% and 9% (cont. comp.), respectively.

a. What is the price of a European put option on the same stock that expires in eight months and has a strike price of $89?

b. Explain in detail the arbitrage opportunities if the European put price is $2.8. How much will be the arbitrage profit?

c. Explain in detail the arbitrage opportunities if the European put price is $4.4. How much will be the arbitrage profit?