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Consider a European put option on AAPL stock with a strike of 300 that expires on 9/18/20. As of close on 4/27, the spot price
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Consider a European put option on AAPL stock with a strike of 300 that expires on 9/18/20. As of close on 4/27, the spot price is 283.17 and the option premium is 25.90.
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[5] What is the current intrinsic and extrinsic value of this option?
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[10] If spot interest rates for a bond expiring on 9/18/20 is 0.5% annually, what should
be the price of a call option with the same strike and expiration?
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[5] What is the Black-Scholes-implied volatility of this option?
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[Extra Credit, 5] What is the Black-Scholes delta, gamma, and theta of this option?
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