Anybody can tell me why the correct answer is A?

Question 1 1/1 pts Suppose the current price of a stock with continuous dividend yield 2% per annum is $10 per share. Suppose also the continuously compounded risk-free interest rate is 5% per annum. Determine which of the following situation MAY NOT present an arbitrage opportunity. The price of a European call option with strike price $10 and maturity 1 year is $2.60. The price of a European call option with strike price $1 and maturity 1 year is $9.90. The price of a European call option with a strike price of $10 and a maturity of 1 year is $0.42, and the price of a European put option with the same strike price and maturity is $0.10. The price of a European put option with a strike price of $11 and a maturity of 1 year is $0.42 Question 1 1/1 pts Suppose the current price of a stock with continuous dividend yield 2% per annum is $10 per share. Suppose also the continuously compounded risk-free interest rate is 5% per annum. Determine which of the following situation MAY NOT present an arbitrage opportunity. The price of a European call option with strike price $10 and maturity 1 year is $2.60. The price of a European call option with strike price $1 and maturity 1 year is $9.90. The price of a European call option with a strike price of $10 and a maturity of 1 year is $0.42, and the price of a European put option with the same strike price and maturity is $0.10. The price of a European put option with a strike price of $11 and a maturity of 1 year is $0.42