Is there any arbitrage opportunities exist

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A stock currently sells for $31. A 3-month European call option on this stock with a strike price of $30 has a premium of $3. A 3-month European put option on the same stock with a strike price of $30 has a premium of $2.25. Assume a 10% annual continuously compounded risk-free interest rate.

Is there any arbitrage opportunities exist? If so, what are your arbitrage strategy and your profit in three months?

Reference no: EM131996474

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