On December 9 of a particular year, a January Swiss franc call option with an exercise price of 46 had a price of 1.63.
The January 46 put was at 0.14. The spot rate was 47.28. All prices are in cents per Swiss franc.
The option expired on January 13. The U.S. risk-free rate was 7.1 percent, and the Swiss risk-free rate was 3.6 percent. The options are European. Do the following:
a. Determine the intrinsic value of the call.
b. Determine the lower bound of the call.
c. Determine the time value of the call.
d. Determine the intrinsic value of the put.
e. Determine the lower bound of the put.
f. Determine the time value of the put.
g. Determine whether put-call parity holds.