(Answered) Find the intrinsic price of the call option

Management Studies

Problem: Suppose that you purchase a European call option that has a strike price of 85 and a maturity of 6 months. The underlying stock is currently selling at 82 and the standard deviation on its return is 30%. Assume the risk-free-rate is 4%.

Required:

Question 1: Find the intrinsic price of the call option using the Black-Scholes-Merton model?

Question 2: If this is a put option, what is the intrinsic price based on the Black-Scholes-Merton model?

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