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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