For a non-dividend paying stock, you are given: i) The current stock price is 40 ii) At the end of the month the stock price will be either 42 or 38 Assume that the continuously compounded risk-free interest rate is 0.08 Given that the price of a 39-strike call option with 1 month to maturity is 1.5; what strategy can you use to take advantage of the arbitrage opportunity (if any)? O A. No arbitrage opportunity exists O B. Short one call, buy 0.75 shares and borrow 31.28 in cash O C. Buy one call, short sell 0.75 shares and lend 31.28 in cash O D. Short one call, buy 0.75 shares and borrow 28.31 in cash O E. Buy one call, short sell 0.75 shares and lend 28.31 in cash For a non-dividend paying stock, you are given: i) The current stock price is 40 ii) At the end of the month the stock price will be either 42 or 38 Assume that the continuously compounded risk-free interest rate is 0.08 Given that the price of a 39-strike call option with 1 month to maturity is 1.5; what strategy can you use to take advantage of the arbitrage opportunity (if any)? O A. No arbitrage opportunity exists O B. Short one call, buy 0.75 shares and borrow 31.28 in cash O C. Buy one call, short sell 0.75 shares and lend 31.28 in cash O D. Short one call, buy 0.75 shares and borrow 28.31 in cash O E. Buy one call, short sell 0.75 shares and lend 28.31 in cash