You are given the following information concerning options on a particular stock: Stock price = $83...

Question

Question

You are given the following information concerning options on a particular stock:

Stock price = $83

Exercise price = $80

Risk-free rate = 6% per year, compounded continuously

Maturity = 6 months

Standard deviation = 53% per year

a). What are the prices of a call option and a put option with the above characteristics?

b). What is the intrinsic value of the call option? The put option?

c). What is the time value of the call option? The put option?

using equations, not excel

Answer 1

Answer #1

fant A c - 80 e ฮ. 5.365 wa (on ut s 365 - put 83 -8o c = s,365, P= 2.36s Mam 1-3,o

Answer 2

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