Question: please solve step by step and correct 1. (10 pts) The bid and ask prices for 9 months ATM European options on an underlying asset

please solve step by step and correct 1. (10 pts) The

please solve step by step and correct

1. (10 pts) The bid and ask prices for 9 months ATM European options on an underlying asset paying 1% dividends continuously with spot price $60 are Cbid=6;Cask=6.5;Pbid=5.5;Pask=6. Assume you can deposit and borrow money at 2.98% and at 3.01% respectively. Is there an arbitrage opportunity present, and, if so, how would you take advantage of it

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