The Current Price of YBM Stock S Is $101

Multiple Choice

The current price of YBM stock S is $101.American options with a strike price K = $100 and maturing in T= 6 months trade on YBM.The continuously compounded,risk-free interest rate r is 5 percent per year.If the American put price p_A is $2.70,then the American call price c_A will attain or lie between:

A) $3.70 and $6.17
B) $6.50 and $7.50
C) $7 and $7.50
D) $6 and $8.83
E) None of these answers are correct.