The cc risk free rate is 5.75%. The spot price of TFS is 35.45 and TFS pays a cc dividend of 4.5%. Here is a list of option prices for TFS options expiring in 9 months. Strike Price Call Price Put Price 30.00 7.19 1.45 35.00 3.99 2.94 40.00 2.28 6.12 Which of the following portfolios guarantees an arbitrage profit of at least $0.05? a. Short 1 share of stock, long C35, short P35. b. Long 0.5 C30, short C35, long 0.5 C40. oc. Long C30, short P30, short C35, long P35. d. Long 0.5 P30, short P35, long 0.5 P40. e. Long 1 share of stock, short C35, long P35. The cc risk free rate is 5.75%. The spot price of TFS is 35.45 and TFS pays a cc dividend of 4.5%. Here is a list of option prices for TFS options expiring in 9 months. Strike Price Call Price Put Price 30.00 7.19 1.45 35.00 3.99 2.94 40.00 2.28 6.12 Which of the following portfolios guarantees an arbitrage profit of at least $0.05? a. Short 1 share of stock, long C35, short P35. b. Long 0.5 C30, short C35, long 0.5 C40. oc. Long C30, short P30, short C35, long P35. d. Long 0.5 P30, short P35, long 0.5 P40. e. Long 1 share of stock, short C35, long P35