Consider a dividend paying stock that is currently selling for $213.50 a share. The stock will pay $4.80 dividend in three month. Consider a European call option and put option on the stock both having a strike price of $215 and an expiration date in five months. The call option is currently selling for $8.20. The risk- free interest rate is 1.2% per annum.

(a) What should the put option be selling for not to allow for any arbitrage opportunities?

(b) Assume the put option is selling for $19.95. Are there any arbitrage opportunities? Justify your answer by suggesting a strategy to take advantage of it, if there is an arbitrage opportunity.