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It is currently Nov 1 and the stock price for ZZZ Corp is 113.25. The risk-free rates are 7.30% (Nov), 7.50% (Dec) and 7.62%(Jan). The
It is currently Nov 1 and the stock price for ZZZ Corp is 113.25. The risk-free rates are 7.30% (Nov), 7.50% (Dec) and 7.62%(Jan). The expiration dates for the options are Nov 15, Dec 20, and Jan 17. Assume the options are European and no dividends are paid. | ||||||
Calls | Puts | |||||
Strike | Nov | Dec | Jan | Nov | Dec | Jan |
105 | 8.4 | 10 | 11.5 | 1.3 | 1.3 | 2 |
110 | 4.4 | 7.1 | 8.3 | 0.9 | 2.5 | 3.8 |
115 | 1.5 | 3.9 | 5.3 | 2.8 | 4.8 | 4.8 |
what is the intrinsic value of the November 115 call?
what is the European lower bound of the December 105 call?
what is the intrinsic value of the December 115 put?
what is the intrinsic value of the January 110 call?
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