Question
Suppose there exists a call of a stock with strike $105 and price $60, and there is a put of the same stock with strike
Suppose there exists a call of a stock with strike $105 and price $60, and there is a put of the same stock with strike $105 and price $40. Both the call and the put have 3 months maturity, and the yearly compounded interest rate is 20%.
(a) What is the stock price right now?
(b) What are the intrinsic values of the call and the put now?
(c) What are the extrinsic values of the call and the put now?
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Financial Institutions Management A Risk Management Approach
Authors: Anthony Saunders, Marcia Cornett, Otgo Erhemjamts
10th Edition
1260013820, 978-1260013825
