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A one-month European put option on a non-dividend-paying stock is currently selling for $2.50. The stock price is $47, the strike price is $52, and
A one-month European put option on a non-dividend-paying stock is currently selling for $2.50. The stock price is $47, the strike price is $52, and the risk-free interest rate is 6% per annum. What opportunities are there for an arbitrageur? Specify what transactions to make and how much profit to expect.
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