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A stock is currently trading at 50. The risk free interest rate is 4%. In one year, analysts believe that share price will either be

A stock is currently trading at 50. The risk free interest rate is 4%. In one year, analysts believe that share price will either be 58 or 36.

a) Using both the Delta (Binomial) method and the Risk Neutral method, find the value of a 1-year Put option with strike price 42.

b) What is the intrinsic value of the option? The time value?

c) What would the value of a Call with the same strike price and maturity be?

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