Consider a European put option on a non-dividend-paying stock with a strike price of $100 and an expiration in one year costs $2. The stock price is $90 and the risk-free rate is 8% per year.

What is the lower bound of the put option?Is the put option over-valued or under-valued?

What strategy should an arbitrageur implement in order to take advantage of this opportunity, and how much is the profit? Use the following table to show your positions on date t (today) and the expiration day T.