This is a derivatives/arbitrage question. Can someone help me with the thought process to solve this kind of problems? The answer is pretty cryptic and I am not sure how they arrived at it. (Can I post the question here, or is that a copyright violation?)
Q25c) looks like a typo to me. They are talking about a three-month arbitrage in the question and in parts A) and b) and then they say "net cash flow of the arbitrage strategy at the six-month expiration date. WTF? The answer, as you say, is cryptic because they write this BS about how the net cash flow at 3 months is 0 and 0 at 3 months = 0 at 6 months. Nice save, but still a typo. The solution in b) seems pretty clear to me. What is the problem you are having with it?