63.Assume we have a stock currently worth $100. We also assume the interest rate is zero, andwe can buy options for this stock with a strike price of $100. If the stock can rise or fall by $20with equal probability over the option period, and the option cannot be exercised until theexpiration date, what is the time value of the option?a. $20b. $0c. $10d. $100

64.Assume we have a stock currently worth $100. We also assume the interest rate is zero, andwe can buy options for this stock with a strike price of $100. If the stock can rise or fall by $5with equal probability over the option period, and the option cannot be exercised until theexpiration date, what is the time value of the option?

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65.Assume we have a stock currently worth $50. We also assume the interest rate is zero, andwe can buy options for this stock with a strike price of $50. If the stock can rise or fall by $10with equal probability over the option period, and the option cannot be exercised until theexpiration date, what is the time value of the option?

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66.As the volatility of the stock price increases, the time value of the option:

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