Use a two-state option pricing model to find the value of a call option and the intrinsic value given the following parameters

Use a two-state option pricing model to find the value of a call option and the intrinsic value given the following parameters: T-bills yield:2.5 pct.Current stock price:$32.00No possibility stock will be worth less this amount in one year:$30.00Exercise Price:$27.00Value of call = $5.66, Intrinsic Value = $5.00Value of call = $3.66, Intrinsic Value = $5.00Value of call = $5.66, Intrinsic Value = $2.00Given the following option quote information:CallsPutsOption and NY CloseExpirationStrike PriceVolumeLastVolumeLastXYZFebruary112857.55400.60March112618.55221.55May1122210112.85August112312.534.70The current stock price is $111.00 and the stock price on the expiration date is $125.00. How much is your options investment worth? (ignore commissions)$13,000.00$14,000.00$130.00Given the following parameters use put-call parity to determine the price of a put option with the same exercise price.Current stock price:$48.00Call option exercise price:$50.00Sales price of call options:$3.80Months until expiration of call options:3Risk free rate:2.6 percent compounding:continuousPrice of put option = $4.52Value of call: $9.44Value of call: $13.665. A bond has 4 years to maturity, a coupon of 9 percent paid annually and currently sells at par. What is the duration of the bond?3.53 years4.90 years3.74 years6. You have entered into a forward contract with the following parameters:Bond:10 year, zero-coupon bond issuance:Will be issued in 1 yearFace Value:$10001 year spot rate:3 pct.10 year spot rate:6 pct.

Forward price = $575.15Forward price = $542.59Forward price = $526.797. Use Black Scholes to Value the put and call given the following criteria. The stock price six months from the expiration of an option is $43.00, the exercise price of the option is $39, the risk free interest rate is 10 percent per annum, and the volatility is 20% per annum.c = 3.16, p = 1.06c = 4.00, p = 1.90c = 6.33, p = 0.43T-bills yield:2.5 pct.Current stock price:$32.00No possibility stock will be worth less this amount in one year:$30.00Exercise Price:$27.00Value of call = $5.66, Intrinsic Value = $5.00Value of call = $3.66, Intrinsic Value = $5.00Value of call = $5.66, Intrinsic Value = $2.00CallsPutsOption and NY CloseExpirationStrike PriceVolumeLastVolumeLastXYZFebruary112857.55400.60March112618.55221.55May1122210112.85August112312.534.70The current stock price is $111.00 and the stock price on the expiration date is $125.00. How much is your options investment worth? (ignore commissions)$13,000.00$14,000.00$130.00Current stock price:$48.00Call option exercise price:$50.00Sales price of call options:$3.80Months until expiration of call options:3Risk free rate:2.6 percentCompounding:continuousPrice of put option = $4.52Value of call: $9.44Value of call: $13.665. A bond has 4 years to maturity, a coupon of 9 percent paid annually and currently sells at par. What is the duration of the bond?3.53 years4.90 years3.74 years6. You have entered into a forward contract with the following parameters:Bond:10 year, zero coupon bondIssuance:Will be issued in 1 yearFace Value:$10001 year spot rate:3 pct.10 year spot rate:6 pct.Forward price = $575.15Forward price = $542.59Forward price = $526.797. Use Black Scholes to Value the put and call given the following criteria. The stock price six months from the expiration of an option is $43.00, the exercise price of the option is $39, the risk free interest rate is 10 percent per annum, and the volatility is 20% per annum.c = 3.16, p = 1.06c = 4.00, p = 1.90c = 6.33, p = 0.43

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