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a) Consider 3 month European options on a 60-priced stock. A 55-strike call costs 6.71...

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a) Consider 3 month European options on a 60-priced stock. A 55-strike call costs 6.71 and a 58 strike put costs 2.42. The effective annual interest rate is 6%. Rachel buys a 55 strike call and Emily writes a 58 strike put. What is the full range of maturity stock prices where both investors will make a loss? (A) ST> 55.54 (B) ST 61.81 (E) 55.54

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