Strike price of a two-year european put option

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A stock price (which pays no dividends) is $50 and the strike price of a two-year European put option written on the stock is $60. The risk-free rate is 5% per annum (continuously compounded). Which of the following is a lower bound for the option such that there are arbitrage opportunities if the price is below the lower bound and no arbitrage opportunities if it is above the lower bound?

Reference no: EM133111417

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