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The market value of Company XYZ's asset is currently $45.00 million. The capital structure of XYZ has two elements: debt with face value $34.00 million,

The market value of Company XYZ's asset is currently $45.00 million. The capital structure of XYZ has two elements: debt with face value $34.00 million, which matures one year from now, and common equity, with 100,000 shares outstanding. Currently, the total market value of XYZ's debt is $30.00 million, and the market value of its equity is $15.00 million.

(a) Consider a European call and a European put options on the stock of XYZ maturing a year from now. Assume that the stock of XYZ pays no dividends during the life of the options, and the strike price of the options is $110.00. Assume that a year from now the total value of assets of XYZ can take only one of two values: $25.00 million or $65.00 million.

(a1) What is the market value of the described call option today?

(a2) What is the market value of the described put option today?

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