Suppose the following for European options: Stock price = $94 3-month call options with strike price $97 3-month put option with strike price $98 1-year risk-free rate is 3%. The call option is trading at $5 and there is a similar call option with an exercise price of $100 is trading at $1. The arbitrage gain that can be made is equal to: O a. $1.00 O b. $2.00 O c. $1.02 O d. $2.02 O e. $3.02
