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Knowing that we have : with = 113.9% and S = 14.93 (capture at the close) K (strike price) = 17 r = 0.25% Price
Knowing that we have : with = 113.9% and S = 14.93 (capture at the close) K (strike price) = 17 r = 0.25% Price date = 26 March Maturity Date = 20 May Trading days = 39 T = Trading days / 252 = 39 / 252 = 0.155 Found on the mid of the put and call on the VIX Sheet c = $1.62 market price p = $2.05 market price Implied forward price is $16.57 SHOW CALCULATIONS TO FIND d1 and d2
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Personal Finance
Authors: Jeff Madura, Hardeep Singh Gill
3rd Canadian Edition
978-0133035575, 133035573, 978-0133970524, 133970523, 978-0134040042
