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Home Tools FINANCIAL RISKM. DOTTI T. T Oo3 37 Comment OPTION MARKETS AND CONTRACTS Use the following information to answer Questions 1 to 13: Current market price of ABC stock =$77 ABC stock price after 30 days = $80 ABC stock price after 45 days - $95 ABC stock price after 60 days - $80 ABC stock price after 75 days = 585 ABC stock price after 90 days = $70 Current price of European call on ABC stock with exercise price of $93 with 90 days to expiration - 52 Current price of European put on ABC stock with exercise price of $82 with 60 days to expiration 56 Risk-free rate - 5% DOTTI T. TIM 2 3 B 370 * omment 5. The put option holder's profit on his position is closest to: A. -$6 B. $2 C. -$4 6. The call option holder's profit on his overall position is closest to: A Zero B. $21 C. -$2 7. At current prices, the call option is most likely: A. In-the-money B. At-the-money C. Out-of-the-money 8. At t = 30, the put option is most likely: A. In-the-money B. At-the-money C. Out-of-the-money 9. Most of the call option premium is most likely composed of: A. Intrinsic value B. Time value C. Cannot be determined 10. Most of the put option premium is most likely composed of: A. Intrinsic value B. Time value C. Cannot be determined 11. The price of a European call option with an exercise price of $82 and 30 days remaining expiration would be closest to: A $1.33 B. $4.90 C. $1.03 12. At t= 45, the minimum value of the call option is closest to: A. $2.56 B. $2 C. $0 13. Att = 45, the minimum value of the put option is closest to: A. SO B. $13 C. $13.16

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