Based on the Lower Bound of European Call Option Price (S₀ Ke^-rT) and the information below, which of the following should be the value of the no-arbitrage lower bound? Assume no dividends.

Spot price (S₀) 120

Strike price (K) 100

Risk-free rate (r) 4%

Time-to-maturity (T) 0.5 (note: T = 0.5 means maturity of six months)

a. 17.9799

b. 20

c. 21.9801

d. None of the above

Based on Lower Bound of European Put Option Price (Ke^-rT S₀) and the information below, which of the following should be the value of the no-arbitrage lower bound? Assume no dividends.

Spot price (S₀) 200

Strike price (K) 250

Risk-free rate (r) 4%

Time-to-maturity (T) 0.25 (note: T = 0.25 means maturity of three months)

a. 47.5125

b. 52.5125

c. -50

d. None of the above