The current price of a given stock is $100. A three-month European call option on the stock with a strike of 100 is trading for a price of $3. The risk-free rate of interest is 12% continuously compounded. The stock is expected to pay a dividend of $1 in one month. Which of the following is false if one wants to make arbitrage profit?

Group of answer choices

a.Buy the call

b.Short the stock

c.Borrow $97 for three months

d.Invest $0.99 for a month