A stock priced at $65. Three month calls and puts with an exercise price of $60 are available. The calls have a premium of $7.27 and the puts cost $1.10. The risk free rate is 5%. You suspect that an arbitrage opportunity is available. If you wished to construct a riskless portfolio to exploit the arbitrage opportunity you should:

Multiple Choice

a. buy the call and buy the put and short the stock and lend the present value of the exercise price

b. write the call and buy the put

c. buy the call and sell the put

d. write the call and buy the put and buy the stock and borrow the present value of the exercise price