What is the time value of each option

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Reference no: EM132042148

You are given the following information concerning options on a particular stock:

Stock price = $59

Exercise price = $55

Risk-free rate = 4% per year, compounded continuously

Maturity = 3 months

Standard deviation = 48% 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.)

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.)

Reference no: EM132042148

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