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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?
A
Lower bound USD 0.13, upper bound USD 34.87
B
Lower bound USD 5.00, upper bound USD 5.13
C
Lower bound USD 5.13, upper bound USD 40.00
D
Lower bound USD 34.87, upper bound USD 40.00