QUESTION 2 (16 marks) A nine-month European call option on a stock is currently selling for $2.20. The nine-month European put price on the same stock is selling for $4.10. The stock price is $21.00, the exercise price for both the European call and put option is $22.00, and a dividend on the stock of $2 is certain to be paid in exactly three months. The risk-free interest rate is 10% p.a. continuously compounded for all maturities and the maturity date of both options is nine months hence. For this question, assume that short sales of shares are allowed and that investors can borrow or lend at the risk-free rate. Ignore all transaction costs other than the costs of borrowing or lending. There is only one part to this question. Required: What opportunities are there for an arbitrageur? In your answer, carefully explain how to exploit any arbitrage opportunity and show what profit an arbitrageur can make by showing the initial and future cash flows from the strategy