Lower Bound for a European Call

A non-dividend-paying stock has $S_{0} = 100$ , strike $K = 95$ , continuously compounded risk-free rate $r = 5%$ , and maturity $T = 1$ year. What is the no-arbitrage lower bound for the price of a European call?

Quant interview-style problem · QS-NF002

Your answer

Think first. Use hints deliberately. Study the reasoning only when you need it.