6-month options are written on a stock which pays dividends at a continuous rate of 4%. You observe the following prices:

Stock: 65.25

63-strike call: 6.81

63-strike put: 3.99

The continuously compounded interest rate is 6% p.a.

What loan is needed to obtain an arbitrator profit if exactly one stock is being used?

a. Buy a Treasury bill for 61.15

b. Lend 62.43

c. Sell a treasury bill for 62.43

e. None of these answers: Arbitrage is not possible