A stock price (which pays no dividends) is $49 and the strike price of a 2-year European put option is $60. The risk-free rate is 2.4% (continuously compounded).

Which of the following answers is true about the bounds of the option?

a.

The lower bound is $ 11.00 where as the upper bound is $ 54.50

b.

The lower bound is $ 0.00 where as the upper bound is $ 51.41

c.

The lower bound is $ 11.00 where as the upper bound is $ 60

d.

The lower bound is $ 8.19 where as the upper bound is $ 57.19

e.

None of the other answers provided is the best or correct answer