Question

Calculate the implicd volatility of soybean futures prices from the following information concerning a European put on soybean futures: $$ \begin{array}{lc} \hline \text { Current futures price } & 525 \\ \text { Exercise price } & 525 \\ \text { Risk-free rate } & 6 \% \text { per annum } \\ \text { Time to maturity } & 5 \text { months } \\ \text { Put price } & 20 \\ \hline \end{array} $$

   Calculate the implicd volatility of soybean futures prices from the following information concerning a European put on soybean futures:
$$
\begin{array}{lc}
\hline \text { Current futures price } & 525 \\
\text { Exercise price } & 525 \\
\text { Risk-free rate } & 6 \% \text { per annum } \\
\text { Time to maturity } & 5 \text { months } \\
\text { Put price } & 20 \\
\hline
\end{array}
$$

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Options, Futures, and Other Derivatives

Options, Futures, and Other Derivatives

John C. Hull 10th Edition

Chapter 18, Problem 26

Instant Answer

Step 1

The risk-free rate is given as 6% per annum. To convert it to a monthly rate, we divide it by 12 (the number of months in a year): Monthly risk-free rate = 6% / 12 = 0.5% per month. Show more…

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Calculate the implicd volatility of soybean futures prices from the following information concerning a European put on soybean futures: $$ \begin{array}{lc} \hline \text { Current futures price } & 525 \\ \text { Exercise price } & 525 \\ \text { Risk-free rate } & 6 \% \text { per annum } \\ \text { Time to maturity } & 5 \text { months } \\ \text { Put price } & 20 \\ \hline \end{array} $$

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