Consider a call and a put option, on the same stock, with identical exercise price, and identical expiration date. Suppose that

• The stock price is S0=100
• The call price is C0=3
• The put price is P0=4
• The exercise price is X=100
• The risk free rate is r=0

Which one of the following strategies is an arbitrage

Select one:

a. Buy the put, buy a zero coupon bond with face value X, sell the stock, sell the call

b. Sell the call, sell a zero coupon bond with face value X, buy the stock, buy the put

c. Buy the call, buy a zero coupon bond with face value X, sell the stock, sell the put

d. Sell the put, sell a zero coupon bond with face value X, buy the stock, buy the call