A European call option and put option on a stock both have a strike price of $18 and an expiration date in six months. Both sell for $5. The risk-free interest rate is 10% per annum (continuously compounded), the current stock price is $24, and a $2 dividend is expected in one month. Is there an arbitrage opportunity? If so, what is the present value of the arbitrage profit?

a.

$4.50

b.

$4.10

c.

$2.58

d.

$3.89