Question

In: Finance

A futures price is currently $25, its volatility (SD) is 30% per annum, and the risk-free...

A futures price is currently $25, its volatility (SD) is 30% per annum, and the risk-free interest rate is 10% per annum. What is the value of a nine-month European call on the futures with a strike price of $26 according to the BSM option pricing model?

1.75

2.67

3.67

2.008

Solutions

Expert Solution

Answer is 2.008 as calculated using Deriva gem tool

jeff jeffy answered 1 year ago
Next > < Previous

Related Solutions

A futures price is currently $25, its volatility (SD) is 30% per annum, and the risk-free...
A futures price is currently $25, its volatility (SD) is 30% per annum, and the risk-free interest rate is 10% per annum. What is the value of a nine-month European call on the futures with a strike price of $26 according to the BSM option pricing model? 2.50 2.936 3.50 3.20
A futures price is currently $3000 and its volatility is 25%. The risk-free interest rate is...
A futures price is currently $3000 and its volatility is 25%. The risk-free interest rate is 5% per annum. a) Use a two-step binomial tree to derive the value today of a one-year European put option with a strike price of $2900 written on the futures contract. b) Use put-call parity to value the one-year European call option with a strike price of $2900 written on the futures contract. c) How would you hedge today a short position in the...
A futures price is currently $3000 and its volatility is 25%. The risk-free interest rate is...
A futures price is currently $3000 and its volatility is 25%. The risk-free interest rate is 5% per annum. a) Use a two-step binomial tree to derive the value today of a one-year European put option with a strike price of $2900 written on the futures contract. b) Use put-call parity to value the one-year European call option with a strike price of $2900 written on the futures contract. c) How would you hedge today a short position in the...
An index currently stands at 736 and has a volatility of 27% per annum. The risk-free...
An index currently stands at 736 and has a volatility of 27% per annum. The risk-free rate of interest is 5.25% per annum and the index provides a dividend yield of 3.65% per annum. Calculate the value of a five-month European put with an exercise price of 730.
A stock index is currently 1,000. Its volatility is 20%. The risk-free rate is 5% per...
A stock index is currently 1,000. Its volatility is 20%. The risk-free rate is 5% per annum (continuously compounded) for all maturities and the dividend yield on the index is 3%. Calculate values for u, d, and p when a six-month time step is used. What is the value a 12-month American put option with a strike price of 980 given by a two-step binomial tree.
A stock index is currently 1,500. Its volatility is 18%. The risk-free rate is 4% per...
A stock index is currently 1,500. Its volatility is 18%. The risk-free rate is 4% per annum for all maturities and the dividend yield on the index is 2.5% (both continuously compounded). Calculate values for u, d, and p when a 6-month time step is used. What is value of a 12-month European put option with a strike price of 1,480 given by a two-step binomial tree?
A stock is currently priced at $37.00. The risk free rate is 5% per annum with...
A stock is currently priced at $37.00. The risk free rate is 5% per annum with continuous compounding. In 7 months, its price will be either $42.18 or $31.82. Using the binomial tree model, compute the price of a 7 month bear spread made of European puts with strike prices $41.00 and $45.00.
A stock price is currently AUD 70; the risk-free rate is 5% and the volatility is...
A stock price is currently AUD 70; the risk-free rate is 5% and the volatility is 30%. What is the value of a two-year American put option with a strike price of AUD 72
A stock is currently priced at $110, and the volatility is 32% per annum. Within the...
A stock is currently priced at $110, and the volatility is 32% per annum. Within the next one year, a dividend of $1.5 is expected after two months and again after eight months (Hint: There are two dividends). The risk-free rate of interest is 7% per annum with continuous compounding. Keep four decimal places for all calculations. 2) According to Black’s approximation, what is the value of a 10-month American call with a strike price of $105?
The ASX200 index is currently sitting at 6458. The risk-free interest rate is 2% per annum....
The ASX200 index is currently sitting at 6458. The risk-free interest rate is 2% per annum. Exactly three months remain before the Nov-19 SPI200 futures contract expires. The SPI200 is quoted at 6410. This futures price implies that the dividend yield on the ASX200 market index is?
ADVERTISEMENT
Subjects
ADVERTISEMENT
Latest Questions
ADVERTISEMENT