How much of that is intrinsic value

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Underlying priced at 200 with MAD of 40.

Problem 1: What is the probability of option expiring ITM for a 160 CALL?

Problem 2: What is the average underlying price when CALL expires ITM?

Problem 3: How much should the 160 CALL be priced at?

Problem 4: Out of the price in 3, how much of that is intrinsic value and how much is time value? Hint: intrinsic value is the value of option if option expires NOW. Time value is the remaining.

Reference no: EM133009753

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