O. Henry creates humor in "The Cop and the Anthem" through several effective techniques.
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By contrasting Soapy's lofty ambitions with his comically inept execution: Soapy dreams of how he will get arrested to escape the cold, but his attempts are hilariously unsuccessful. This contrast between his grandiose plans and his bumbling failures adds a comedic element to the narrative.
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By using ironic and sarcastic descriptions of Soapy's failed attempts to get arrested: O. Henry employs irony when describing Soapy's efforts, highlighting the absurdity of his situation. For example, his attempts to act like a criminal often backfire in ridiculous ways, adding to the humor through the irony of his circumstances.
These techniques contribute to the lighthearted tone of the story while also offering a critique of social issues.