The six-month forward price of the underlying S&P 500 index is 1,500, and the volatility of the
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The six-month forward price of the underlying S&P 500 index is 1,500, and the volatility of the S&P 500 index is 20.00% per annum. Calculate the price of a six-month European put option on the spot value of the underlying S&P 500 index, with a strike price of 1,550. The risk-free rate is 5.00% per annum.
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