Consider a European call option on a stock that pays no dividends. Its strike price X is $90 and it expires in 1 year. Also consider a European put option on the same stock, with the same strike price and the same expiration date. The Put-call parity relation between these two option holds. It may be written in convenient form (using simple compounding) as

C₀-P₀= S₀- PV(x) = S₀- X / (1+r)

The interest rate is r = 7.2% per year. The difference between the stock price S₀and the strike price X is equal to one-third of the difference between the call price C₀and the put price P_0.Using simple compounding as indicated above compute the difference between the call price and the put price, C₀- P₀, and the stock price S₀(round both C₀- P0 and S₀to the nearest dollar).

a.C₀- P₀= $ 15 , S₀= $95

b.C₀- P₀= $ 12 , S₀= $94

c.C₀- P₀= $ 9 , S₀= $93

d.C₀- P₀= $ 6 , S₀= $92

e.None of the above