Question: A Financial Institutions decided to create a protected note on stock by offering investors a discount bond along with bull spread created from calls. The

A Financial Institutions decided to create a protected note on stock by offering investors a discount bond along with bull spread created from calls. The risk-free rate is 5% and the stock price volatility is 30%. The low-strike-price option in the bull spread is at the money. What is the maximum ratio of the high strike price to the low strike price in the bull spread? And what mechanism will be followed in bear spread?

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