In: Finance
You are given the following information concerning options on a particular stock: |
Stock price | = | $76 |
Exercise price | = | $75 |
Risk-free rate | = | 6% per year, compounded continuously |
Maturity | = | 6 months |
Standard deviation | = | 31% 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 | $ |