European call option price c european put option price p


[Put-Call Parity] Suppose that:

c = 20 p = 4

S0 =100 K = 90

T = 1 r = 4%

D = 0

Given the above information on European call option price (c), European put option price (p), spot price (S0), strike price (K), risk-free rate (r), and time-to-maturity (T), verify if there is an arbitrage opportunity. If there is an arbitrage opportunity, discuss how you can construct an arbitrage strategy using the above information.

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Financial Management: European call option price c european put option price p
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