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Consider an American-style call option and an American-style put option, each with 3 months to maturity, written on a non-dividend-paying stock currently priced at USD 40. The strike price for both options is USD 35 and the risk-free rate is 1.5%. What are the lower and upper bounds on the difference between the prices of the call and put options?
| Scenario | Lower Bound (USD) | Upper Bound (USD) |
|---|---|---|
| A | 0.13 | 34.87 |
| B | 5.00 | 5.13 |
| C | 5.13 | 40.00 |
| D | 34.87 | 40.00 |