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There are three- and six-month European calls on stock. Suppose the three-month option costs $5 and the six-month option costs $3. Then, there is an
There are three- and six-month European calls on stock. Suppose the three-month option costs $5 and the six-month option costs $3. Then, there is an arbitrage strategy that involves, among other things,
| a. Buying the three-month and six-month calls, shorting the stock, and investing. |
| b. There is not enough information given to answer this question. |
| c. Buying the six-month call and selling the three-month call. |
| d. Buying the three-month call and selling the six-month call. |
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