Suppose the underline stock price is $110, call price is $10, put price is $6,
is 5%, maturity of the options is 1 year , and strike price is $105. To take advantage of an arbitrage opportunity, we should
Buy stock, buy put, sell call, and borrowing $100
Buy stock, buy put, sell call, and lending $100
Sell stock, sell put, buy call, and lending $100
Sell stock, sell put, buy call, and borrowing $100
There is no arbitrage opportunity