11-4

The common stock of the C.A.L.L. Corporation has been trading In a narrow range around $95 per share for months and you belleve It is going to stay In that range for the next 3 months. The price of a 3 -month put option with an exercise price of $95 Is $6.00. a. If the risk-free Interest rate is 9% per year, what must be the price of a 3-month call option on C.A.L.L. stock at an exercise price of $95 If It is at the money? (The stock pays no dividends.) (Do not round Intermedlate calculatlons. Round your answer to 2 declmal places.) b-1. What would be a simple options strategy using a put and a call to exploit your conviction about the stock price's future movement? b-2. What is the most money you can make on this position? (Do not round Intermedlate calculatlons. Round your answer to 2 decimal places.) b-3. How far can the stock price move In elther direction before you lose money? (Do not round Intermedlate calculations. Round your answer to 2 decimal places.) c. How can you create a position Involving a put, a call, and riskless lending that would have the same payoff structure as the stock at expiration? What is the net cost of establishing that position now? (Enter the absolute value. Do not round Intermedlate calculatlons. Round your answers to 2 declmal places. Leave no cells blank be certaln to enter " 0 " wherever required.)