3. The quoted futures price corresponds to a forward rate of 8% per annum with quarterly...
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3. The quoted futures price corresponds to a forward rate of 8% per annum with quarterly compounding and actual/360. The parameters for Black's model are therefore: F = 0.08 K = 0.08 R=0.075, 0=0.15 P(0,1) e -0.0175 = 0.75 =0.9277. Use these information to estimate the call price. and Total [10 Marks] 3. The quoted futures price corresponds to a forward rate of 8% per annum with quarterly compounding and actual/360. The parameters for Black's model are therefore: F = 0.08 K = 0.08 R=0.075, 0=0.15 P(0,1) e -0.0175 = 0.75 =0.9277. Use these information to estimate the call price. and Total [10 Marks]
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