单选题 The stock is selling at $ 40, a 3-month put at $ 50 is selling for $11, a 3-month call at $ 50 is selling for $1, and the risk-free rate is 6 percent. How much, if anything, can be made on an arbitrage?

A、

A. $ 0 (no arbitrage).
B、

B. $ 0.28.
C、

C. $ 0.72.

【正确答案】 C

【答案解析】
A synthetic stock is: S=C-P+X/(1+RFR)^T=$1-$11+50/(1.06)^0.25=$ 39.28. Since the stock is selling for $ 40, you can short a share of stock for $ 40 and buy the synthetic for an immediate arbitrage profit of $ 0.72.