A European call option and put option on a stock both have a strike price of $35.00and an expiration date in three months. Both sell for $4.85. The risk-free interest rate is 3.0%per annum, the current stock price is $34.50, and a $1.10dividend is expected in one month. Identify the arbitrage opportunity open to a trader. (Provide a detailed description of the arbitrage strategy and calculate the potential profits.)