|

Option Pricing - Unable to obtain this value

It is a one year at-the-money option on a two year oil future (please note that this is the future price and not the spot)

Strike and Future Price = 21.21

Interest rate = 5%

Std.dev or implied volatility = 0.07082

The European call option price is being mentioned as 0.6981. No matter what I do, I can’t obtain this. I am using the Black Scholes model. Could someone please help?

Huge discount on our Silver Review course if you were unsuccessful with another training provider.

I get a price of 0.77 using BSM.

I have no idea how they’re getting 0.6981.

Simplify the complicated side; don't complify the simplicated side.

Financial Exam Help 123: The place to get help for the CFA® exams
http://financialexamhelp123.com/