The common shares of Twitter, Incorporated $($TWTR$)$ recently traded on the NYSE for $$103$ per share. You have employee stock options to purchase $1,000$ TWTR shares for $$108$ per share. The options expire in three years. Assume that the annualized volatility of TWTR stock is $93$ percent and that the interest rate is $2\mathrm{.}9$ percent. $($Assume the options are European options that may only be exercised at the maturity date.$)$

a$.$ Is this option a call or a put?

Call

Put

b$.$ Using an option pricing calculator such as the one at

erieri.com$/$blackscholes$,$ estimate the value of your TWTR options.

Note: Round your intermediate calculations to $2$ decimal places and final answer to nearest whole dollar.

Value of your TWTR options

c$.$ What is the estimated value of the options if their maturity is six months instead of three years?

Note: Round your intermediate calculations to $2$ decimal places and final answer to nearest whole dollar.

Value of the options

d$.$ What is the estimated value of the options if their maturity is three years, but TWTR$\text{'}$s volatility is $68$ percent?

Note: Round your intermediate calculations to $2$ decimal places and final answer to nearest whole dollar.

Value of the option