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You are working on the arbitrage desk at a hedge fund and you observe the following data on your screen: S = $60 K =

  1. You are working on the arbitrage desk at a hedge fund and you observe the following data on your screen:

S = $60 K = 60 CE = $5.00 PE = $5.00 D = 0

T = 3 months r = 3% (continuously compounded)

Do you see an opportunity? How would you exploit it? How much would you make on this trade?

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