Consider the market where the stock price is $100, the annual effective risk-free rate is 3%, the price of European call option is $10 and the price of European put option is $6. Both options written on the stock, have the strike price of $100 and time to expiration of 6 months. The next dividend to be paid by the stock is in 7 months. Does this market allows an arbitrage? What is your arbitrage strategy if your answer to the previous question is yes?

a.

Today: short the call option and buy the put. Close your positions in 6 months

b.

Today: short the call option, borrow $98.53, buy the put and the stock share, invest the rest in T-bills. Close your positions in 6 months

c.

The market does not allow arbitrage opportunities

d.

Today: buy the call option, lend $98.53, short the put and the stock share, invest the rest in T-bills. Close your positions in 6 months

e.

Today: short the put option and buy the call. Close your positions in 6 months

PROVIDE A GOOD ANSWER AND I WILL UPVOTE