suppose the risk free rate interest rate is 3.5% compounded continuosly and that the stock has a dividend of $.75 payable in one month( no other dividends are expected) The stock has a current price of $60 and a four-month european call option with a strike price of $56 has a price of $3.50. is there and arbitrage opportunity? What is the best-case scenario for amount of profit the arbitrage can make on this situation?

No arbitrage opportunity, cannot make any guaranteed profit

Yes, long stock/ short call and makes max profit if the stock price is much higher than $56

yes, long stock / short call and makes $.41 guaranteed in all scenarios

yes, short stock / long call and makes $.41 guaranteed in all scenarios

Yes, short stock/ long call and makes max profit if the stock price is much higher than $56