Question 1

Please use the following real-life data on November 11, 2022 for Pepsi options

Pepsi stock price: $178

Expiration date of options: December 9, 2022 (i.e., 1 month from November 11^th)

Exercise (or strike) price: $180

Call option value: $2.66

Put option value: $5.35

U.S. Treasury annual yield: 3.71%

A. Calculate the speculative premium for Pepsis call option. Show all work.

B. Calculate the speculative premium for Pepsis put option. Show all work.