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  • October 155 July 160 Aug 170

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    Vivek Kavta
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    This document contains information about identifying the intrinsic value, time value of American call options, and lower bound of European call options for different stock prices and expiration dates. It provides the stock price, expiration dates, risk-free rates, exercise price, market value of the stock, intrinsic value, time value, and lower bounds for American and European call options.

    Original Description:

    In this file, numerical problems of derivatives are discussed.

    Original Title

    Ch-3-P11 &12

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    This document contains information about identifying the intrinsic value, time value of American call options, and lower bound of European call options for different stock prices and expiration dates. It provides the stock price, expiration dates, risk-free rates, exercise price, market value of the stock, intrinsic value, time value, and lower bounds for American and European call options.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    11 views1 page

    October 155 July 160 Aug 170

    Uploaded by

    Vivek Kavta
    This document contains information about identifying the intrinsic value, time value of American call options, and lower bound of European call options for different stock prices and expiration dates. It provides the stock price, expiration dates, risk-free rates, exercise price, market value of the stock, intrinsic value, time value, and lower bounds for American and European call options.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 1

    P-11

    Identify Intrinsic Value, Time Value of American Call and Lower Bound of European Call:

    The stock is priced at 165.13. The expirations are July 17, August 21, and October 16. The risk-
    free rates are 0.0516, 0.0550, and 0.0588, respectively.
    Exercise Market Intrinsic Time value
    price value of value Ca (S0, T,X) ≥Max(S0-X,0) Lower
    share (S0) Max(S0-X,0) bounds

    Oct July Aug Max(S0-


    14.00 6.00 3.20 X(1+r)-T)
    October 155 165.13 10.13 3.87 11.17

    July 160 165.13 5.13 0.87 5.371

    Aug 170 165.13 0.00 3.20 0

    P-12
    Identify Intrinsic Value, Time Value of American Call and Lower Bound of European Call:

    The stock is priced at 165.13. The expirations are July 17, August 21, and October 16. The risk-
    free rates are 0.0516, 0.0550, and 0.0588, respectively.

    Exercise Market Intrinsic Time value


    price value of value Ca (S0, T,X) ≥Max(S0-X,0) Lower
    share (S0) Max(S0-X,0) bounds

    July 165 165.13 0.00 2.375 0

    Aug 160 165.13 0.00 2.750 0

    Oct 170 165.13 0.00 4.125 2.184

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