Value, using Derivagem and a 100-step tree, an American 9- month put option on a futures contract when the futures price is 31, strike price is 30, risk-free rate is 5%, and volatility is 30%. i) Find the intrinsic value and ii) the price of the futures put option. a. i) $0; and ii) $3.4530 b.i) $1; and ii) $3.4530 c. i) $0; and ii) $2.6043 Od.i) $1; and ii) $2.6043 A put option on a non-dividend-paying stock has a market price of $2.00. The stock price is $13, the exercise price is $15, the time to maturity is three months, and the risk-free interest rate is 5% per annum. i) What is the implied volatility?, and what is the intrinsic value a. i) 25.17%; ii) $0 Ob.i) 28.17%; ii) $0 Oc. i) 25.17%; ii) $2 d. i) 28.17%; ii) $2 Consider an American call option on a stock. The stock price is $70, the time to maturity is eight months, the risk-free rate of interest is 10% per annum, the exercise price is $75, and the volatility is 32%. A dividend of $1 is expected after three months and again after six months. Use DerivaGem to calculate the price of the option with 100 steps. i) what is the intrinsic value and what the value of the option? O a. i) 6.1839; ii) 6.1839 Ob.i) 8.7629; ii) 8.7629 Oc. i) 0; ii) 6.1839 d.i) 0; ii) 8.7629 Value, using Derivagem and a 100-step tree, an American 9- month put option on a futures contract when the futures price is 31, strike price is 30, risk-free rate is 5%, and volatility is 30%. i) Find the intrinsic value and ii) the price of the futures put option. a. i) $0; and ii) $3.4530 b.i) $1; and ii) $3.4530 c. i) $0; and ii) $2.6043 Od.i) $1; and ii) $2.6043 A put option on a non-dividend-paying stock has a market price of $2.00. The stock price is $13, the exercise price is $15, the time to maturity is three months, and the risk-free interest rate is 5% per annum. i) What is the implied volatility?, and what is the intrinsic value a. i) 25.17%; ii) $0 Ob.i) 28.17%; ii) $0 Oc. i) 25.17%; ii) $2 d. i) 28.17%; ii) $2 Consider an American call option on a stock. The stock price is $70, the time to maturity is eight months, the risk-free rate of interest is 10% per annum, the exercise price is $75, and the volatility is 32%. A dividend of $1 is expected after three months and again after six months. Use DerivaGem to calculate the price of the option with 100 steps. i) what is the intrinsic value and what the value of the option? O a. i) 6.1839; ii) 6.1839 Ob.i) 8.7629; ii) 8.7629 Oc. i) 0; ii) 6.1839 d.i) 0; ii) 8.7629