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The following option prices were observed for a stock on July 6, 2010. The stock is currently priced at RM165.13. The option's expirations are July
The following option prices were observed for a stock on July 6, 2010. The stock is currently priced at RM165.13. The option's expirations are July 17, August 21, and October 16. The risk free rates are 0.0516, 0.0550 and 0.0588 respectively.
| Strike | CALLS | PUTS | ||||
| Jul | Aug | Oct | Jul | Aug | Oct | |
| 155 | 10.50 | 11.80 | 14.00 | 0.20 | 1.25 | 2.75 |
| 160 | 6.00 | 8.10 | 11.10 | 0.75 | 2.75 | 4.50 |
| 165 | 2.70 | 5.20 | 8.10 | 2.35 | 4.70 | 6.70 |
| 170 | 0.80 | 3.20 | 6.00 | 5.80 | 7.50 | 9.00 |
Compute the intrinsic values and time values for the following American Calls.
a) July 160
b) October 155
c) August 170
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