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You are given the following information concerning options on a particular stock: Stock price = $57 Exercise price = $55 Risk-free rate = 4% per year, compounded continuously Maturity = 6 months Standard deviation = 37% 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.) Intrinsic 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.) Time Value Call option $ Put option $

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Financial Management, Finance

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