13 Two-state Option Pricing Model T-bills currently yield 2.1 per cent and the Man Group plc share...

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13 Two-state Option Pricing Model T-bills currently yield 2.1 per cent and the Man Group plc share price is £0.97. There is no possibility that the equity will be worth less than £0.50 per share in one year.

(a) What is the value of a call option with a £0.97 exercise price? What is the intrinsic value?

(b) What is the value of a call option with a £0.70 exercise price? What is the intrinsic value?

(c) What is the value of a put option with a £1.10 exercise price? What is the intrinsic value?

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Corporate Finance

ISBN: 9781526848093

4th Edition

Authors: David Hillier

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Question Posted: Jul 19, 2024 05:04 PM

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13 Two-state Option Pricing Model T-bills currently yield 2.1 per cent and the Man Group plc share...

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Corporate Finance

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