20.

Both a European call and European put options expire in 90 days, with the same exercise price of $70 and the same underlying asset. The current price of the underlying asset is $60. The risk-free rate of return is 5%. Find the lower bounds of both options.

Select one:

a. European call = max(0, -9.13) = 0; European Put = max(0,9.13) = 9.13

b. European Call = max(0, -9.13) = 0; European Put = max(0,9.13) = -9.23

c. European Call = max(0, -9.43) = 0; European Put = max(0,9.43) = 9.43

d. European Call = max(0, -9.13) = 0; European Put = max(0,9.13) = -9.13