Suppose that to buy either a call or a put option you pay the quoted ask price, denoted a( ) and a( ), and to sell an option you receive the bid, b( ) and b( ). Similarly, the ask and bid prices for...

Suppose that to buy either a call or a put option you pay the quoted ask price, denoted


_a
(
) and


_a
(
), and to sell an option you receive the bid,


_b
(
) and


_b
(
). Similarly, the ask and bid prices for the stock are


_a

and


_b
. Finally, suppose you can borrow at the rate


_H

and lend at the rate


_L
. The stock pays no dividend. Find the bounds between which you cannot profitably perform a parity arbitrage.