Question $13$

$7\mathrm{.}2pts$

You observe the following prices in the market:

Stock's price $=$$$89$

Put Price $=$$$9\mathrm{.}30$

Call Price $=$$$12\mathrm{.}70$

Exercise price for both call option and put option on the stock $=$$$87$

Both options expire $1$ year from today

Risk free interest rate $=4\mathrm{.}5\%$

The following will be included in the arbitrage strategy you will design to take advantage of the market mispricing.

Short stock plus long call plus borrow money

Long Call plus short stock plus buy T$-$bills

Short stock plus short call plus buy T$-$bills

Short put plus short call plus short stock