USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)

Multiple Choice

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
The current stock price of ABC Corporation is $53.50. ABC Corporation has the following put and call option prices that expire six months from today. The risk-free rate of return is 5 percent, and the expected return on the market is 11 percent.

-Refer to Exhibit 14.6. How could an investor create arbitrage profits?

A) sell the stock short, write a put, buy a call, and invest the proceeds at the risk-free rate
B) buy the stock, write a put, buy a call, and invest the proceeds at the risk-free rate
C) sell the stock short, buy a put, write a call, and invest the proceeds at the risk-free rate
D) buy the stock, write a put, buy a call, and borrow the strike price at the risk-free rate
E) sell the stock short, write a put, buy a call, and borrow the strike price at the risk-free rate.