A European call option and put option on a stock both have a strike price of $20 and an expiration date in three months. Both sell for $3. The risk-free interest rate is 10% per annum, the current stock price is $19, and a $1 dividend is expected in one month. Identify the arbitrage opportunity open to a trader.

Select one:

a.

Sell the put, sell the stock, and long the call

b.

Buy the put, buy the stock, and short the call

c.

Buy the put, sell the stock, and short the call

d.

Sell the put, buy the stock, and short the call

e.

Buy the put, buy the stock, and long the call