A call option with 6 months to expiration has a strike price of $30 and costs $2. A share
of the underlying stock is currently selling for $28.50. The annualized risk-free rate is
4%. If this option is fairly priced, what should the value of a put option with the same
strike price and expiration be? If it is currently selling for $4.00, how could you earn
arbitrage profits?
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