The trading price of the ABC stock has been around $100 per share for the past months, and you believe it is going to stay in that range for the next 3 months. The price of a 3-month put option with a strike price of $100 is $10.

a) (4 points) If the risk-free interest rate is 5% p.a. with continuous compounding, what is the price of a 3-month call option on ABC stock at a strike price of $100 if it is at the money? (The stock pays no dividends.)

b) (6 points) Based on your belief about the future movement of the stock price, what options strategy using a put and a call would you adopt? What is the most money you can make on this position? Explain the reason.

c) (10 points) How can you create a position with a put, a call, and riskless lending (risk-free interest rate is 5% p.a. with continuous compounding) that would have the same payoff as the stock at the expiration date? What is the net cost of establishing that position now?