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Option Strategies using DerviaGem

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Using DerviaGem:

A European call option and put option on a stock both have a strike price of $20 and an expiration date in three months. Both sell for $3. The risk-free interest rate is 10% per annum, the current stock price is $19, and a $1 dividend is expected in one month. Identify the arbitrage opportunity open to a trader.

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The solution discusses option strategies using DerviaGem.

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