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The price of a stock is $31. The strike price of an option on the stock, with an expiry three months out, is $30. The

The price of a stock is $31. The strike price of an option on the stock, with an expiry three months out, is $30. The one-year risk-free rate is 10%, continuously compounded. The price of a European call on the stock is $3 and the price of a European put is $2.25.

a. Calculate the value of a Fiduciary Call and a Protective Put.

b. How might you profit from an arbitrage? Show the net gain of the arbitrage

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