(a) State and prove the put-call parity equation between a European call option of price c and a European put option of price p on a non-dividend paying stock of current price So, strike price K, risk- free interest rater, and time to maturity T. You may wish to consider the following two portfolios in your proof: Portfolio A: one European call option c plus cash amount Kort Portfolio B: one European put option p plus one share of stock So [10] (b) Suppose that the stock price is $31, the strike price is $30, the risk-free interest rate is 10% per annum, the price of a three-month European call option is $3.5, and the price of a three-month put option is $1.5. Identify the arbitrage opportunity open to a trader and compute the value of the arbitrage profit [10] (a) State and prove the put-call parity equation between a European call option of price c and a European put option of price p on a non-dividend paying stock of current price So, strike price K, risk- free interest rater, and time to maturity T. You may wish to consider the following two portfolios in your proof: Portfolio A: one European call option c plus cash amount Kort Portfolio B: one European put option p plus one share of stock So [10] (b) Suppose that the stock price is $31, the strike price is $30, the risk-free interest rate is 10% per annum, the price of a three-month European call option is $3.5, and the price of a three-month put option is $1.5. Identify the arbitrage opportunity open to a trader and compute the value of the arbitrage profit [10]