Rather than varying the maturity of the options as in Problem 6A.4, let's vary the exercise price.

Question:

Rather than varying the maturity of the options as in Problem 6A.4, let's vary the exercise price. Fill in the following table, assuming a 3-month time to expiration and the information from Problem 6A.4:

Exercise prices KDKK/£ 8.200 8.400 8.600 8.800 Call option value Put option value

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