What is the delta of a short position in 1,000 European call options on silver futures? The options mature in eight months, and the futures contract underlying the option matures in nine months. The current nine-month futures price is $8 per ounce, the exercise price of the options is $8, the risk-free interest rate is 12% per annum, and the volatility of silver is 18% per annum.
Asked
Active
Viewed 144 times
1
-
1I am voting to close this. The question is to basic for this forum. Any good book (such as Hull) will give you the answer. – phdstudent Dec 02 '15 at 15:32