Question
Use two-state option pricing model to find the value of a call option and the intrinsic value given the following parameters: T-bills yield: 4.0 pct.
Use two-state option pricing model to find the value of a call option and the intrinsic value given the following parameters:
| T-bills yield: | 4.0 pct. |
| Current stock price: | $44.00 |
| No possibility stock will be worth less this amount in one year: | $42.00 |
| Exercise Price: | $34.00 |
Group of answer choices
Value of call = $11.31, Intrinsic Value = $2.00
Value of call = $11.31, Intrinsic Value = $10.00
Value of call = $9.31, Intrinsic Value = $10.00
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Analysis for Financial Management
Authors: Robert C. Higgins
10th edition
007803468X, 978-0078034688
