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The underlying stock price is NOK 60.00, and the risk-free rate is 5% per year. Is there an opportunity for you as an arbitrageur?

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A 9-month at-the-money European call option on a non-dividend-paying
stA 9-month at-the-money European call option on a non-dividend-paying
stock is currently selling for NOK 5.26 while a put with the same terms is selling for NOK 2.80. The underlying stock price is NOK 60.00, and the risk-free rate is 5% per year. Is there an opportunity for you as an arbitrageur?ock is currently selling for NOK 5.26 while a put with the same terms is selling for NOK 2.80. The underlying stock price is NOK 60.00, and the risk-free rate is 5% per year. Is there an opportunity for you as an arbitrageur?

 
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