
Ultimate access to all questions.
A financial analyst working at a hedge fund is currently evaluating the pricing of American-style call and put options, both with an expiry period of three months, on a stock that is currently priced at USD 40 and does not pay any dividends. The strike price for both options is set at USD 35, and the prevailing risk-free interest rate is 1.5%. What are the minimum and maximum possible differences in the costs of these call and put options?
A
LowerboundUSD0.13,upperbound USD34.87
B
Lower bound USD 5.00, upper bound USD 5.13
C
Lower bound USD5.13,upper bound USD 40.00
D
Lower bound USD 34.87, upper bound USD 40.00