The quoted futures price corresponds to a forward rate of 8% per annum with quarterly compounding and actual/360. The parameters for Black’s model are therefore:Fk = 0.08, K=0.08, R=0.075, tk=0.75, SDk=0.15and P(0,tk+1)=e-0.075x1=0.9277 . Use these information to estimate the call price.
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The quoted futures price corresponds to a forward rate of 8% per annum with quarterly compounding and actual/360. The parameters for Black’s model are therefore:Fk = 0.08, K=0.08, R=0.075, tk=0.75, SDk=0.15and P(0,tk+1)=e-0.075x1=0.9277 . Use these information to estimate the call price.
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