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Problem 6. With an expiration date in 3 months, a European call option and put option on a stock both have a strike price of
Problem 6. With an expiration date in 3 months, a European call option and put option on a stock both have a strike price of $20 and both sell for $3.50. The risk-free interest rate is 10% per annum, the current stock price is $20, and a $1 dividend is expected in one month. Identify the arbitrage opportunity open to a trader
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