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A European call option and a European put option on a stock both have a strike price of $45 and expire in 6 months. Currently,
A European call option and a European put option on a stock both have a strike price of $45 and expire in 6 months. Currently, the call price is $10 and the put price is $5 in the market. The risk-free rate is 2% per annum, and the current stock price is $50. Identify the arbitrage opportunity open to the trader. All the interest rates are with continuous compounding.
Buy call, sell put, sell stock |
Buy call, sell put, buy stock |
Sell call, buy put, buy stock |
Sell call, buy put, sell stock |
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