Question 2 (40 points) Q2 (40 points) Recall that the put-call parity relation between a call option and a put option with the same time to expiration T and the same strike price X, C(X) and P(X) at time 0 is (using simple compounding) So + Po(X) = Co(X) + XI(1+rf ) I. Consider a European call option and a European put option on a stock paying no dividends, both with the strike price of $110. Further consider another European call option and another European put option on the same stock, both with the strike price of $100. All four options expire in 6 months. The price difference between the two puts is $7.5 and the price difference between the two calls is $2.4. The current stock price is So = $105. The risk-free rate ry, rounded to the nearest basis point, is: Orf = 2.03% Orf = 2.39% Orf = 2.84% Orf = 1.56% Orf = 1.82%