Calculating Option Values 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 of a call option with a 0.97 exercise price?

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

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