Problem 2 The Bid price for a Call option with K = 150 and expiration in 4 months is $11.00 and the corresponding Ask price is 11.20. Today's share price is $145. Moreover, suppose that your continuously compounded lending rate is 2% annualized and your borrowing rate is 5% annualized. Determine what is the Bid-Ask spread for the corresponding Put with K = 150 implied by Put-Call parity. Namely, determine what range of Put prices would not violate Put- Call parity. Hint: compute the net premia for: i) Buy the call, sell the put, short the stock, and lend the present value of the strike price plus dividends? ii) Sell the call, buy the put, buy the stock, and borrow the present value of the strike price plus dividends? You want to make sure that these strategies do not generate arbitrage.