The is not a determinant of the value of a call option in


1. A stock is at $68. A two-month put (strike price = $70) is available at a $6 premium.. The intrinsic value is ___ and the time value is ____.

$0 . . . $4

$3 . . . $5

$2 . . . $4

$2 . . . $3.

2. The __________ is NOT a determinant of the value of a call option in the Black-Scholes model?

interest rate

exercise price of the stock

price of the underlying stock

expected beta of the underlying stock

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Financial Management: The is not a determinant of the value of a call option in
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