The price of a European put option that matures in six months and has a strike price of S100 is S6 The underlying stock price is S105 and a dividend of $2 is expected in 3 months. The risk free rate of interest is 5% per annum with continuous compounding a) What should be the price of the European call option which matures in six months and has a strike price of $100? b) Explain carefully the arbitrage opportunity that exists if the European call price in the market is $6