1. Given the following information, does an arbitrage opportunity exist? If so, how would an arbitrageur take advantage of this opportunity?

Call price $3.60

Put price $0.40

Market stock price $42.00

Exercise price $40.00

Expiration 90 days

T-bill rate 6.00%

Call price $3.60

Put price $0.40

Market stock price $42.00

Exercise price $40.00

Expiration 90 days

T-bill rate 6.00%

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