A European call option on a non-dividend paying stock is priced at $2.50. This call option has the strike price of $20 and the time to maturity of 6 months. The current stock price is $21 and the interest rate is 5% per annum continuously compounded. A European put option on the same stock with the same strike price and the same time to maturity is priced at $1.50. Which of the following is correct?

a. The put option is underpriced. The trader can exploit this mispricing by selling the put option, selling the stock, buying the call option, investing at risk free rate. b. The put option is overpriced. The trader can exploit this mispricing by selling the put option, buying the stock, buying the call option, investing at risk free rate. c. At maturity, if stock price is less than $20, the call will be exercised. d. There is no correct answer. e. At maturity, if stock price is greater than $20, the put will be exercised.