A stock is selling for $41.60. The strike price on a call, maturing in 6 months, is $45. The possible stock prices at the end of 6 months are $35.00 and $49.00. Interest rates are 5.0%
Given an under-priced option, what are the short sale proceeds in an arbitrage strategy?
A) $6.36
B) $8.22
C) $10.43
D) $11.89
D
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