Question
The following information is available on company ABC on June 1. CALLS PUTS ABC X JUNE JULY JUNE JULY 113.25 105 8.25 9.00 0.50 1.25
The following information is available on company ABC on June 1.
CALLS PUTS
ABC X JUNE JULY JUNE JULY
113.25 105 8.25 9.00 0.50 1.25
113.25 115 1.50 3.50 2.75 4.75
The risk-free rates are 7.30% (June) and 1.50% (July). The times to expiration are .0384 (June) and .1342(July). Assume no dividends.
What is the time value of the July 105 put?
| 8.25 | ||
| 7.25 | ||
| 0 | ||
| 1.25 |
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Fundamentals Of Multinational Finance
Authors: Michael H. Moffett, Arthur I. Stonehill, David K. Eiteman
4th Edition
9780132138079
