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2. Atwomonth European call option on a dividend-paying stock is currently selling for $3. The stock price is $55, the strike price is $50, and

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2. Atwomonth European call option on a dividend-paying stock is currently selling for $3. The stock price is $55, the strike price is $50, and a dividend of $1.5 is expected in one month. The riskfree interest rate is 12% per annum. Is there an arbitrage opportunity? Show the arbitrage transactions now, in one month and in two months respectively. (15 marks)

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