You are given the following information concerning options on a particular stock:Stock price=Exercise price=Risk-free rate=Maturity=Standard deviation=$83Intrinsic value=$$806% per year, compounded continuously6 months47% per year(a)What is the intrinsic value of the call option? (Please keep two digits after the decimal point.)(b)What is the time premium of the call option? (Please keep two digits after the decimal point.)Time premium of the call option=$

a) Intrinsic value of the call option= Current price - exercise price= $83-$80Intrinsic value of the…

You are given the following information concerning options on a particular stock: Stock price= Exercise price= Risk-free rate= Maturity= Standard deviation= Intrinsic value=$ $83 $80 Time premium of the call option=$ 6% per year, compounded continuously 6 months (a)What is the intrinsic value of the call option? (Please keep two digits after the decimal point.) 47% per year (b)What is the time premium of the call option? (Please keep two digits after the decimal point.)

You are given the following information concerning options on a particular stock: Stock price= Exercise price= Risk-free rate= Maturity= Standard deviation= Intrinsic value=$ $83 $80 Time premium of the call option=$ 6% per year, compounded continuously 6 months (a)What is the intrinsic value of the call option? (Please keep two digits after the decimal point.) 47% per year (b)What is the time premium of the call option? (Please keep two digits after the decimal point.)

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter5: Financial Options

Section: Chapter Questions

Problem 3Q

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Suppose that a call option with a strike price of $48 expires in one year and has a current market price of $5.17. The market price of the underlying stock is $46.25, and the risk-free rate is 1%. Use put-call parity to calculate the price of a put option on the same underlying stock with a strike of $48 and an expiration of one year. The price of a put option on the same underlying stock with a strike of $48 and an expiration of one year is $. (Round to the nearest cent.)
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You are pricing options with the following characteristics: •Current stock price (St): $35.60 •Exercise price (X): $50 •Time to expiration (T-t): 9 months •Risk-free rate (rf): 3.25% •Volatility (0): 45% (a): What is the Black-Scholes value of call option? In your hand-written solution, provide the calculations of d1,d2, and the final call price. Use Excel or another spreadsheet program to compute the values of N(d1) and N(d2). See the notes for details. (b): Using put-call parity, what is the value of a put option? For this case, assume continuous compounding, which implies that PVt(X)=e-r(T-t).X.
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