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The futures price of gold is $1900.5. A put and a call on this gold futures contract, both struck at $1888 both sell for $10.
The futures price of gold is $1900.5. A put and a call on this gold futures contract, both struck at $1888 both sell for $10. The interest rate is 2 percent. The options both expire in 3 months, and both are European. Identify an arbitrage opportunity.
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