Consider a European call and a European put on a non-dividend-paying stock. Both the call and the put will expire in two years and have the same strike prices of $110. The stock currently sells for $115. The risk-free rate is 3% per annum. The price of the call is $15, and the price of the put is $5. Is there an arbitrage? If so, what is the arbitrage profit today? (Consider an arbitrage strategy where we long or short one contract each for both call and put, and the net cash flow in year 2 is zero)

Group of answer choices

There is no arbitrage.

$1.406

$1.493

$1.527