The price of a European put expiring in nine months with a s…
The price of a European put expiring in nine months with a strike price of $135 is $3. The underlying stock price is $142. A dividend of $0.50 is expected in two months and again in five months. The term structure of risk-free interest rates is: 2%, 2.05%, 2.08%, for two-, five-, and nine-month maturities, respectively. Which of the strategies below is an arbitrage if the corresponding call price is $4?
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