Question
You are given the following information concerning options on a particular stock: Stock price = $64 Exercise price = $60 Risk-free rate = 5% per
| You are given the following information concerning options on a particular stock: |
| Stock price | = | $64 |
| Exercise price | = | $60 |
| Risk-free rate | = | 5% per year, compounded continuously |
| Maturity | = | 3 months |
| Standard deviation | = | 43% per year |
| a. | What is the intrinsic value of each option? (Leave no cells blank - be certain to enter "0" wherever required. Do not round intermediate calculations.) |
| Value | |
| Call option | $ |
| Put option | $ |
| b. | What is the time value of each option? (Do not round intermediate calculations and round your answers to 2 decimal places, e.g., 32.16.) |
| Value | |
| Call option | $ |
| Put option | $ |
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The Yield Curve And Financial Risk Premia Implications For Monetary Policy
Authors: Felix Geiger
1st Edition
3642215742, 3642215750, 9783642215742, 9783642215759
