Question: How is the implied volatility of an option determined
How is the implied volatility of an option determined?
Answer to relevant QuestionsWhat are the delta and gamma of an option? Determine the price of a European put option on a 6.5% four-year Treasury bond with a strike price of 100.25 and two years to expiration assuming the same information as in Exhibit 30-10. What are the differences between an option on a bond and an option on a bond futures contract? Suppose that a savings and loan association buys an interest-rate cap that has these terms: The reference rate is the 6-month Treasury bill rate; the cap will last for five years; payment is semiannual; the strike rate is ...A portfolio manager buys a swaption with a strike rate of 4.5% that entitles the portfolio manager to enter into an interest-rate swap to pay a fixed-rate and receives a floating rate. The term of the swaption is five ...
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