A futures price is currently $40. The risk-free interest rate is 5%. Some news is expected tomorrow

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A futures price is currently $40. The risk-free interest rate is 5%. Some news is expected tomorrow that will cause the volatility over the next 3 months to be either 10% or 30%.

There is a 60% chance of the first outcome and a 40% chance of the second outcome.

Use DerivaGem to calculate a volatility smile for 3-month options.

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Options Futures And Other Derivatives

ISBN: 9780273759072

8th Global Edition

Authors: John Hull

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Question Posted: Oct 21, 2024 10:00 AM

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A futures price is currently $40. The risk-free interest rate is 5%. Some news is expected tomorrow

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Options Futures And Other Derivatives

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