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Financial Risk Manager Part 1

Financial Risk Manager Part 1

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An analyst at a hedge fund is evaluating 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 of the difference between the prices of the call and put options?

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