Business, 08.07.2021 15:10 truesarah111

The following quotes were observed for options on a given stock on November 1 of a given year. These are American options except where indicated. Calls Puts
Strike Nov Dec Jan Nov Dec Jan
105 8.4 10 11.5 5.3 1.3 2
110 4.4 7.1 8.3 0.9 2.5 3.8
115 1.5 3.9 5.3 2.8 4.8 4.8

The stock price was 113.25. The risk-free rates were 7.30 percent (November), 7.50 percent (December) and 7.62 percent (January). The times to expiration were 0.0384 (November), 0.1342 (December), and 0.21. Assume no dividends.

a. What is the intrinsic value of the January 110 call?
b. What is the intrinsic value of the November 115 call?
c. What is the intrinsic value of the December 115 put?
d. What is the intrinsic value of the November 105 put?
e. What is the time value of the December 115 put?
f. What is the time value of the November 105 put?
g. What is the time value of the January 110 call?
h. What is the time value of the November 115 call?

Answers: 2

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The following quotes were observed for options on a given stock on November 1 of a given year. These...

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