You own a stock that has a current price of $80.

A six-month call option on this stock with an exercise price of $70 is selling for $13.

A six-month call option on this stock with an exercise price of $70 is selling for $4.

a. calculate the profit or loss to a written covered call for each of the following stock prices at the end of six months.

i. $30

ii. $50

iii. $70

iv. $90

b. calculate the profit or loss to a protective put for each of the following stock prices at the end of six months.

i. $30

ii. $50

iii. $70

iv. $90

c. if the continuously compounded annual risk-free rate is 5% then explain clearly how you would conduct an arbitrage and calculate your arbitrage profit at the start of the arbitrage.