Find an arbitrage portfolio

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Reference no: EM131324723

The current price of a stock paying no income is 20.37 and the six-month continuous interest rate is 7.48%. European call and put options with strike price 24 and exercise date in six months are trading at 5.09 and 7.78, respectively. Find an arbitrage portfolio. Verify it is an arbitrage portfolio.

Reference no: EM131324723

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