You are given the following information regarding options on the Stock Index BOX

C1 (K=100) = 6.0 C2 (K=110) = 1.0

P1 (K=100) = 4.0 P2 (K=110) = 8.8

r > 0, volatility =25%, q = 0, the options are European and have the same expiration What strategy will provide riskless profits?

a. sell C1, buy C2, buy P1, sell P2 and lend proceeds at r.

b. no strategy exists.

c. buy C1 and P1, sell C2 and P2.

d. buy P2 and C1, sell P1 and C2 and borrow the PV (10) at r.

e. not enough information (what is missing, if any?)