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A European call option on a certain stock has a strike price of $30, a time to maturity of one year, and an implied volatility of 30%. A European put option on the same stock has a strike price of $30, a time to maturity of one year, and an implied volatility of 33%. What is the arbitrage opportunity open to a trader? Does the arbitrage work only when the lognormal assumption underlying Black-Scholes holds? Explain the reasons for your answer carefully.

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关键词：习题求解 Opportunity Volatility assumption underlying carefully option price

long calls and short puts, coz they are relatively mispriced, reflected by the inequal implied vol., it has nothing to do with the assumptions of B-S.