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Assume that the stock price is $56, call option price is $9, the put option price...

Assume that the stock price is $56, call option price is $9, the put option price is $5,   risk-free rate is 5%, the maturity of both options is 1 year , and the strike price of both options is 58.

An investor  can __the put option, ___the call option, ___the stock, and ______ to explore the arbitrage opportunity.  

A.

sell, buy, short-sell, lend
B.

buy, sell, buy, borrow
C.

sell, buy, short-sell, borrow
D.

buy, sell, buy, lend

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Expert Solution

jeff jeffy answered 1 year ago
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