10 Answer the following a. Suppose data are collected for a certain stock: Stock price Call price (1-year expiration, E $105) Put price (1-year expiration, E 105) $110 $17 $5 5% per year Risk-free interest rate Is there a mispricing of the call and put? If yes, can you exploit this mispricing to create arbitrage proft? b. Design a portfolio using only call options and the underlying stock with the following payoff at expiration: 0 10 20 30 40 S0 6 70 0 90 100 110 c. Show that at-the-money call option must cost more that an at-the-money put option. Both options are written on the same underlying stock with the same maturity and the same exercise price and the stock pays no