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 put 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 rate is 5%, then explain clearly how you would conduct an arbitrage, and calculate your arbitrage profit at the start of the arbitrage.