Question: Note: For all problems where a risk-free rate or a dividend yield is given, assume that the interest rate and the dividend yield are annual

Note: For all problems where a risk-free rate or a dividend yield is given, assume that the interest rate and the dividend yield are annual and continuously compounded rates.

Suppose that a one-year futures price is currently 60. A one-year European call option and a one-year European put option on the futures with a strike price of 61 are both priced at 4 in the market.

The risk-free interest rate is 5% per annum. Identify an arbitrage opportunity

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