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Unformatted text preview: (1) $2.25 g) The time value of the option today. (1) $2.25 h) The intrinsic value of the option today. (1) $0.00 2. Nothing else changes but the per period volatility of the stock returns. Now, the possible per period returns can be 25% or 20%. Solve for all the questions of problem 1 but using the new assumption. Once you are done calculating the answers to the question, repeat the exercise assuming that the current stock price moved by one dollar to $25.1 per share. a. 31.25 and 20. b. 6.25 and 0.00 c. 1.8 d. 20 e. 0.56 f. 3.31 g. 3.31 h. 0.00 i. 31.375 and 20.08 j. 6.375 and 0 k. 1.772 l. 20.08 m. 0.564 n. 3.372 o. 3.372 p. 0.00 3. Keep the assumptions of problem 2 but this time price a European put option with one period to expiration and an exercise price of 25. For puts, you must "buy" them not write them. a. 31.25 and 20. b. 0.00 and 5.0. c. 2.25 d. 31.25 e. 0.44 f. 2.12 g. 2.12 h. 0.0...
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 Spring '07
 Yildary

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