EBF 473 Homework 5 Solution

EBF 473 Homework 5 Solution

Author: semona henkova

EBF 473 Homework 5 Solution


EBF 473 Homework 5 Solution

Due in class, Thursday April 14 (one class period later than stated in the syllabus)

(2.5 pts) On April 22 2011, at market close, the price of BP (symbol BP) was 40.50.  The prices of various call options with expiration on July 22 2015 is set out below.  Given this, derive the smile for BP.  Assume the annual interest rate is 8.0%.

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