S&P 500 Index is at 4,392.70. A European SPA call option with one year to expiration struck at

4500 is trading at $367.30. An identical put is trading at $386.90. Discount factor for one-year maturity is 0.982994. Ignore dividends Which of the following arbitrage strategies will be profitable

a. Write the call, buy the put. buy the index, borrow at the risk-free rate

b. Buy the call, write the put, short the index, invest at the risk-free rate

C. Write the call, buy the put, short the index, invest at the risk-free rate

D. Buy the call, write the put, buy the index, borrow at the risk-free rate