Determine the intrinsic value of the call

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Reference no: EM131325908

Use the following data from January 31 of a particular year for a group of March 480 options on futures contracts to answer parts a through g.

Futures price: 483.10
Expiration: March 18
Risk-free rate 0.0284 percent(simple)
Call price: 6.95
Put price: 5.25

a. Determine the intrinsic value of the call.

b. Determine the time value of the call.

c. Determine the lower bound of the call.

d. Determine the intrinsic value of the put.

e. Determine the time value of the put.

f. Determine the lower bound of the put.

g. Determine whether put-call parity holds.

Reference no: EM131325908

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