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?)