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1 Simple arbitrage for options A2 milk company shares are trading at $22 per share. In three months time, they will pay a 27 cent dividend. Interest rates with continuous compounding) are 3% per annum. For the following two situations, demonstrate how you would arbitrage the market: 1. A European put option, maturing in four months time with strike price $24 has price $1.40. 2. A European call option, maturing in four months time, with strike price $21 has price $1.85, while a European put option, maturing in four months time, with strike price $21 has price $0.30