You are given the following information concerning options on a particular stock: Stock price = $68
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Question:
You are given the following information concerning options on a particular stock: |
Stock price | = | $68 |
Exercise price | = | $65 |
Risk-free rate | = | 5% per year, compounded continuously |
Maturity | = | 6 months |
Standard deviation | = | 34% 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 | $ |
Related Book For
Corporate Finance
ISBN: 978-0077861759
11th edition
Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe, Bradford Jordan
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