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e. A one-year European call option on a non-dividend-paying stock is currently selling for 5. The stock price is 64, the strike price is 60.

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e. A one-year European call option on a non-dividend-paying stock is currently selling for 5. The stock price is 64, the strike price is 60. The risk-free interest rate is 12% per annum for all maturities. What opportunities are there for an arbitrageur? (15 marks)

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