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Using the provided data with prices of European calls of varying strikes compute the volatility smile using the Black Model. WTI Fut T Strikes 69.56
Using the provided data with prices of European calls of varying strikes compute the volatility smile using the Black Model.
WTI Fut T Strikes 69.56 6000 0.1666667 6050 0.022 6100 6150 6200 6250 6300 Call Prices 9.71 9.24 8.77 8.31 7,85 7.4 6,96 6.53 6.11 5.7 5.31 4.92 4.55 4.19 3.85 3.52 6350 6400 6450 6500 6550 6600 6650 6700 6750 6800 6850 6900 6950 7000 7050 7100 7150 7200 7250 7300 7350 7400 7450 7500 7550 7600 7650 7700 7750 7800 7850 7900 7950 8000 8050 8100 8150 8200 2.91 2.63 2.37 2.13 1.91 1.7 1.52 1.35 1.19 1.05 0.93 0.82 0.72 0,63 0.56 0.49 0.43 0.38 0.33 0.3 0.26 0.23 0.21 0.19 0.17 0.15 0.14 0.12 WTI Fut T Strikes 69.56 6000 0.1666667 6050 0.022 6100 6150 6200 6250 6300 Call Prices 9.71 9.24 8.77 8.31 7,85 7.4 6,96 6.53 6.11 5.7 5.31 4.92 4.55 4.19 3.85 3.52 6350 6400 6450 6500 6550 6600 6650 6700 6750 6800 6850 6900 6950 7000 7050 7100 7150 7200 7250 7300 7350 7400 7450 7500 7550 7600 7650 7700 7750 7800 7850 7900 7950 8000 8050 8100 8150 8200 2.91 2.63 2.37 2.13 1.91 1.7 1.52 1.35 1.19 1.05 0.93 0.82 0.72 0,63 0.56 0.49 0.43 0.38 0.33 0.3 0.26 0.23 0.21 0.19 0.17 0.15 0.14 0.12Step by Step Solution
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