A European call with strike X and maturity T is trading at c. The underlying stock does not pay any dividend. The annual interest rate is rf. Suppose c>S-X/(1+rf)^T and one call is on one share for simplicity. Then you can one call, one share of the stock and X/(1+rf)^T to form an arbitrage portfolio. sell, buy, borrow sell, buy, lend buy, sell, lend buy, sell, borrow