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A six-month European call options underlying stock price is $86, while the strike price is...

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Accounting

A six-month European call options underlying stock price is $86, while the strike price is $80. Assume that the risk-free interest rate is 5% per annum with continuous compounding for all maturities. If the call option is currently selling for $2, what arbitrage strategy should be implemented? Choose from the following:

Buy the call and buy the stock

Buy the call and short the stock

Short the call and buy the stock

Short the call and short the stock

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