What is the delta of the call option on the futures contract

Assignment Help Financial Management

Reference no: EM131909713

1) Use the Black-Scholes formula to calculate the value of a European call option on silver futures. The option matures in six months. The current nine-month futures price is $10 per oz, the strike price of the option is $8, the risk free interest rate is 12% per annum and the volatility of the futures price is 18% per annum. Use the NORM.S.DIST(x) function in Excel. Round to two decimals.

2) What is the delta of the call option on the futures contract from Problem #1?

3) Use the information from Problem #1. What is the price of a similar call option that expires immediately? That is, K=8 and T is approximately 0.

Reference no: EM131909713

Questions Cloud

Calculate the break-even price : Fixed costs are the marketing expenses for a region along with the allocated product development expense.

What are the normal project completion time and normal cost : Draw the network for this project and label the activities. What are the normal project completion time and normal cost?

Greek architecture and roman architecture : Explain the transformation from and major differences between Greek architecture and Roman architecture

How many different systems can be ordered : An order for a personal digital assistant can specify any one of five memory sizes, any one of three types of displays, any one of four sizes of a hard disk

What is the delta of the call option on the futures contract : Use the information from Problem #1. What is the price of a similar call option that expires immediately? That is, K=8 and T is approximately 0.

Estimate the delta of the option from tree : The risk free rate is 6% and the volatility is 35% per annum. Estimate the delta of the option from your tree.

Are nuclear weapons global peacemakers or killing devices : Since the invention of nuclear weapons we have had a long period of global peace and stability. Are nuclear weapons global peacemakers or killing devices

Draw a ce diagram for the given situations : A cause-and-effect diagram is used to identify the possible causes of defects. Draw a CE diagram for the following situations.

What the effect might be on next periods financial results : Analysts maintain that two of the most important ratios are inventory turnover and accounts receivable turnover.

User Account

All Pages