The implied interest rate can be uniquely determined

Reference no: EM13710117

1. Determine if the implied interest rate can be uniquely determined if you know volatility; consider the derivative dC/dr

3. Assume that the volatility is 10%/year

2. From the dataset op3.dat compute the implied interest rate for the Call option with the strike price E=1415 expiring on 3 different days; make 1 plot - interest rate vs days to expiry.

Option prices dataset 3

This dataset containsoption prices (for different expiry dates) for the S&P 500 Index on 1/3/2007.

All options have the same strike price E=1415, but different expiry dates.

We consider options with three expiry dates = 1/20, 2/17, 3/17

Format of the file = [Days to Expiry] [Bid Price] [Ask Price]

11     13    14.6
31     24.4 26.4
50     34.1 36.1

Reference no: EM13710117

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