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Consider a European call option and a put option on a stock each with a strike price of K = $22 and each expires in
Consider a European call option and a put option on a stock each with a strike price of K = $22 and each expires in six months. The price of call is C = $3 and the price of put is P = $4. The risk free interest rate is 10% per annum and current stock price is S0 = $20. Show how to create an arbitrage strategy and calculate the arbitrage traders profit.
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