A european put option on the same stock has a strike price


A European call option on a certain stock has a strike price of $30, a time to maturity of 1 year, and an implied volatility of 30%. A European put option on the same stock has a strike price of $30, a time to maturity of 1 year, and an implied volatility of 33%. What is the arbitrage opportunity open to a trader?

Does the arbitrage work only when the lognormal assumption underlying Black-Scholes-Merton holds? Explain carefully the reasons for your answer.

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Financial Management: A european put option on the same stock has a strike price
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