Use DerivaGem to calculate the value of an American put option on a non-dividend-paying stock when the stock price is $40, the strike price is $42, the risk-free rate is 5%, the volatility is 35%, and the time to maturity is 1.5 years. (Choose Binomial American for the option type and 50 timesteps.)

a. What would a time value of zero indicate?

b. What is the value of an option with zero time value?