The price of a non-dividend stock is $60.00. A $58 put and a $58 call on the stock have 150 days to expiration. The implied volatility is 30% and the risk-free interest rate over the period is 5% CCAR.

Part A:

Use the BS OPM to calculate the price of the call.

Part B:

Calculate the Extrinsic Value (also called the Time Value) of the call.

Part C:

Use the BS OPM to calculate the price of the put.

Part D:

Calculate the Extrinsic Value (also called the Time Value) of the put.