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Consider a European call option on a non-dividend-paying stock when the stock price is $22, the strike price is $20, the time to maturity is 11 months, and the risk-free interest rate is 11.5% per annum, continuously compounded. The option is currently trading at $3.5 each. What is your arbitrage strategy - if there is any? Select one alternative: Short share, buy call, and lend the difference. No arbitrage opportunity is present based on the given information. Long share, short call and borrow the difference. None of the answers. Consider a European call option on a non-dividend-paying stock when the stock price is $22, the strike price is $20, the time to maturity is 11 months, and the risk-free interest rate is 11.5% per annum, continuously compounded. The option is currently trading at $3.5 each. What is your arbitrage strategy - if there is any? Select one alternative: Short share, buy call, and lend the difference. No arbitrage opportunity is present based on the given information. Long share, short call and borrow the difference. None of the answers