An investor is watching the real-time changes in the price of options on a particular asset. She notices that both a European call and European put on the asset, both with an exercise price of $45, are both trading for $4. Both options have exactly 6 months remaining until expiration. She also observes the underlying asset is selling for $43 and that the risk-free rate is 6%.
According to put-call parity, what series of transactions would be necessary to take advantage of any mispricing?
A Sell the call, borrow $43.71 at the risk-free rate for six months, buy the put, and buy the underlying asset.
B Buy the call, invest $43.71 at the risk-free rate for six months, sell the put, and sell short the underlying asset.
C Buy the call, borrow $43.71 at the risk-free rate for six months, sell the put, and buy the underlying asset.
D Sell the call, invest $43.71 at the risk-free rate for six months, buy the put, and sell short the underlying asset.