The cc risk free rate is 2.75%. The spot price of TFS is 33.25 and TFS pays a cc dividend of 1.0%. Here is a list of option prices for TFS options expiring in 6 months. Strike Price Call Price Put Price 30.00 4.75 1.25 32.50 3.95 2.92 40.00 0.87 7.24 Which of the following portfolios guarantees an arbitrage profit of at least $0.05? a. Long 0.75 C30, short C32.5, long 0.25 C40. Long 1 share of stock, short C32.5, long P32.5. c. Long C30, short P30, short C35, long P35. d. Short 1 share of stock, long C32.5, short P32.55. Long 0.75 P30, short P32.5, long 0.25 P40. D The cc risk free rate is 2.75%. The spot price of TFS is 33.25 and TFS pays a cc dividend of 1.0%. Here is a list of option prices for TFS options expiring in 6 months. Strike Price Call Price Put Price 30.00 4.75 1.25 32.50 3.95 2.92 40.00 0.87 7.24 Which of the following portfolios guarantees an arbitrage profit of at least $0.05? a. Long 0.75 C30, short C32.5, long 0.25 C40. Long 1 share of stock, short C32.5, long P32.5. c. Long C30, short P30, short C35, long P35. d. Short 1 share of stock, long C32.5, short P32.55. Long 0.75 P30, short P32.5, long 0.25 P40. D