Suppose that the price of a stock is $25, the price of a six-month call option on the stock with an exercise price of $24 is $4 and the risk free interest rate is 5% per annum. Assuming that put-call parity holds, what is the arbitrage profit if the price of a six-month put option is $3 and the stock price turns out to be $26 in six months' time?

a. b. c. d. e.

$0.86 $0.71 $0.58 $0.39 $0.61