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3. (1 point) The current price of a non-dividend paying stock is $40. A European call option with three months maturity and strike $39 is

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3. (1 point) The current price of a non-dividend paying stock is $40. A European call option with three months maturity and strike $39 is priced at $2. The risk-free rate of interest for three months is 2%. Which of the following statements is correct? (a) The price of the call obeys no-arbitrage restrictions. (b) It is possible to construct a risk-less arbitrage strategy to yield a gain of at least 80.81. (c) It is possible to construct a risk-less arbitrage strategy to yield a gain of at least $1.00. (d) It is possible to construct a risk-less arbitrage strategy to yield a gain of at least $1.19. 3. (1 point) The current price of a non-dividend paying stock is $40. A European call option with three months maturity and strike $39 is priced at $2. The risk-free rate of interest for three months is 2%. Which of the following statements is correct? (a) The price of the call obeys no-arbitrage restrictions. (b) It is possible to construct a risk-less arbitrage strategy to yield a gain of at least 80.81. (c) It is possible to construct a risk-less arbitrage strategy to yield a gain of at least $1.00. (d) It is possible to construct a risk-less arbitrage strategy to yield a gain of at least $1.19

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