For a non-dividend paying stock, you are given: (i) The current stock price is 18.5. (ii) In 6 months, the stock will either go up to 22.5 or down to 15. (iii) The continuously compounded risk-free interest rate is 6%. (iv) The current price of a 6-month 20-strike European call option on the stock is 1.55. Which of the following statements is correct? Please show your work. a (A) There is no arbitrage opportunity based on the information given. (B) There is an arbitrage opportunity. One can earn riskless profit of 0.24 by buying the call, selling 0.33 shares of stock and lending 4.85. (C) There is an arbitrage opportunity. One can earn riskless profit of 0.24 by selling the call, buying 0.33 shares of stock and borrowing 4.85. (D) There is an arbitrage opportunity. One can earn riskless profit of 0.12 by buying the call, selling 0.33 shares of stock and lending 10.78. (E) There is an arbitrage opportunity. One can earn riskless profit of 0.12 by selling the call, buying 0.33 shares of stock and borrowing 10.78