Find the arbitrage trade given these prices

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Reference no: EM131514687

Options on D Corporation with 14 months until expiration and a strike price of $85. The risk free rate for 14 months is 4.5% (annualized with continuous compounding). The firm is not expected to pay any dividends over the next 14 months, and the current stock price is $92.78. The price of the call option is $10.33 and the put option is $2.11. Find the arbitrage trade given these prices and show the profit for each contract.

Reference no: EM131514687

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