4. (5 points) S&P 500 index is currently $2900. The dividend yield of S&P 500...
80.2K
Verified Solution
Link Copied!
Question
Finance
4. (5 points) S&P 500 index is currently $2900. The dividend yield of S&P 500 is 2%. The risk-free interest rate in US is 3% per year with continuous compounding. There are two 3-month European call options on S&P 500. The price of the call with strike price $2975 is currently $33.97. The price of the call with strike price $2925 is currently $60.10. What are the implied volatilities of these two options? If linear interpolation is used, what should be the volatility and option price of a 3-month call with strike price $2950? 4. (5 points) S&P 500 index is currently $2900. The dividend yield of S&P 500 is 2%. The risk-free interest rate in US is 3% per year with continuous compounding. There are two 3-month European call options on S&P 500. The price of the call with strike price $2975 is currently $33.97. The price of the call with strike price $2925 is currently $60.10. What are the implied volatilities of these two options? If linear interpolation is used, what should be the volatility and option price of a 3-month call with strike price $2950
Answer & Explanation
Solved by verified expert
Get Answers to Unlimited Questions
Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!
Membership Benefits:
Unlimited Question Access with detailed Answers
Zin AI - 3 Million Words
10 Dall-E 3 Images
20 Plot Generations
Conversation with Dialogue Memory
No Ads, Ever!
Access to Our Best AI Platform: Flex AI - Your personal assistant for all your inquiries!
