# Fight Finance

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A non-dividend paying stock has a current price of $20. The risk free rate is 5% pa given as a continuously compounded rate. Options on the stock are currently priced at$5 for calls and $5.55 for puts where both options have a 2 year maturity and an exercise price of$24.

You suspect that the call option contract is mis-priced and would like to conduct a risk-free arbitrage that requires zero capital. Which of the following steps about arbitraging the situation is NOT correct?