You own shares of AGH that are currently trading at $100. A European put option written on AGH with a $100 strike price that expires in three months is priced at $4. The equivalent call option is priced at $5.

(a) What is the price of three-month T-bill that pays par ($100) implied by the prices given above?

(b) What is the continuously compounded three-month interest rate implied by these prices?

(c) A quick check of the price of three month T-bills on The Wall Street Journal web site reveals that this bill is trading at $98.50. Explain your actions upon finding this information