The risk free rate of interest is 2 which of the following


A stock is trading at $70. A one-month at-the-money call option on the stock is priced at $0.10. The risk free rate of interest is 2%. Which of the following statements is most accurate?

(a) There is no arbitrage opportunity here.

(b) A risk-less arbitrage strategy is to buy the call, short the stock and lend the present value of the strike for one month.

(c) A risk-less arbitrage strategy is to short the call, buy the stock and borrow the present value of the strike for one month.

(d) There is not enough information to decide whether or not there is an arbitrage.

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Financial Management: The risk free rate of interest is 2 which of the following
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