A six-month European call and a six-month European put on a dividend-paying stock are currently trading at $2.90 and $4.60, respectively. Both options have a strike price of $45. The current stock price is $43, and a dividend of $0.40 is expected in three months. The risk-free interest rate is 5% per annum with continuous compounding. The actions to be taken today to take advantage of any arbitrage opportunity created are:
O Borrow at the risk-free rate to buy the stock, buy the call, and sell the put.
O Sell the stock, sell the put, buy the call, and invest the proceeds at the risk-free rate.
O Borrow at the risk-free rate to buy the call, buy the put, and sell the stock.
O Borrow at the risk-free rate to buy the stock, buy the put, and sell the call.
O None, no arbitrage opportunity is available.