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The prices of a European call and put that expire in six months and has...

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Finance

  1. The prices of a European call and put that expire in six months and has a strike price of $30 are $2.5 and $2.74, respectively. The underlying stock price is $27. Risk-free interest rates for all maturities are 8%. Based on above information, how to exploit the arbitrage opportunity?

    a.

    buy the call, sell the put, sell the stock and borrow $30 for a year
    b.

    sell the call, buy the put, buy the stock and lend $27.78 for a year
    c.

    sell the call, buy the put, buy the stock and borrow $27.78 for a year
    d.

    buy the call, sell the put, sell the stock and lend $30 for a year

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