Question: The ASX200 Share Price Index (SPI) stands at 6,200 and has a volatility (standard deviation) of 20% per annum. The risk free rate of

The ASX200 Share Price Index (SPI) stands at 6,200 and has a

The ASX200 Share Price Index (SPI) stands at 6,200 and has a volatility (standard deviation) of 20% per annum. The risk free rate of interest is 3% p.a. and the index provides a dividend yield of 496 p.a. (all rates are continuously compounded). If an option on the SPI is for $25 x SPI, calculate the value of a three-month European call with an exercise price of 6,300.

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