Question
You are given the following information concerning options on a particular stock: Stock price = $74 Exercise price = $70 Risk-free rate = 7% per
| You are given the following information concerning options on a particular stock: |
| Stock price | = | $74 |
| Exercise price | = | $70 |
| Risk-free rate | = | 7% per year, compounded continuously |
| Maturity | = | 6 months |
| Standard deviation | = | 32% per year |
| a. | What is the intrinsic value of each option? (Leave no cells blank - be certain to enter "0" wherever required.) |
| Value | |
| Call option | $ |
| Put option | $ |
| b. | What is the time value of each option? (Round your answers to 2 decimal places. (e.g., 32.16)) |
| Value | |
| Call option | $ |
| Put option | $ |
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Financial Markets And Institutions
Authors: Frederic S. Mishkin, Stanley Eakins
6th International Edition
0321552113, 9780321552112
