Question
Use the Black Sholes model to calculate the price of a six-month at-the-money European call option on December goldfutures.Decembergoldfutures are currently trading at USD 1,300
Use the Black Sholes model to calculate the price of a six-month at-the-money European call option on December goldfutures.Decembergoldfutures are currently trading at USD 1,300 per oz. Assume the volatility of the future contract and the volatility of spot gold are both 40% per annum. The risk-free rate is 4% per annum and the gold yield rate is 2% per annum, both continuously compounding.
What is the value of the Call, in dollars, to the nearest cent ?
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Financial Management Principles and Applications
Authors: Sheridan Titman, Arthur J. Keown, John H. Martin
13th edition
134417216, 978-0134417509, 013441750X, 978-0134417219
