{"id":23818,"date":"2021-07-26T15:57:18","date_gmt":"2021-07-26T15:57:18","guid":{"rendered":"https:\/\/papersspot.com\/blog\/2021\/07\/26\/pricing-for-european-options-on-dividend-paying-index-black-scholes-merton-model\/"},"modified":"2021-07-26T15:57:18","modified_gmt":"2021-07-26T15:57:18","slug":"pricing-for-european-options-on-dividend-paying-index-black-scholes-merton-model","status":"publish","type":"post","link":"https:\/\/papersspot.com\/blog\/2021\/07\/26\/pricing-for-european-options-on-dividend-paying-index-black-scholes-merton-model\/","title":{"rendered":"Pricing for European Options on dividend paying index (Black Scholes Merton Model)"},"content":{"rendered":"<p>The following data relate to the FTSE 100 index. <br \/>Current price 7125 <br \/>Dividend Yield 2.95% <br \/>Volatility 13.25% <br \/>The risk-free rate of interest is 1%. <br \/>i) Estimate the value of a European exercise call option on the index with an exercise<br \/> price of 7100 and 100 days to run. <br \/>ii) Estimate the value of a European exercise put option on the index with the same<br \/> exercise price and expiry date. <br \/>(Pretty sure the Black-Scholes Merton model is used to complete this but I don&#8217;t fully understand, answer length not important as long as workings are shown) <\/p>\n","protected":false},"excerpt":{"rendered":"<p>The following data relate to the FTSE 100 index. Current price 7125 Dividend Yield 2.95% Volatility 13.25% The risk-free rate of interest is 1%. i) Estimate the value of a European exercise call option on the index with an exercise price of 7100 and 100 days to run. ii) Estimate the value of a European [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[1],"tags":[14],"class_list":["post-23818","post","type-post","status-publish","format-standard","hentry","category-research-paper-writing","tag-finance"],"_links":{"self":[{"href":"https:\/\/papersspot.com\/blog\/wp-json\/wp\/v2\/posts\/23818","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/papersspot.com\/blog\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/papersspot.com\/blog\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/papersspot.com\/blog\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/papersspot.com\/blog\/wp-json\/wp\/v2\/comments?post=23818"}],"version-history":[{"count":0,"href":"https:\/\/papersspot.com\/blog\/wp-json\/wp\/v2\/posts\/23818\/revisions"}],"wp:attachment":[{"href":"https:\/\/papersspot.com\/blog\/wp-json\/wp\/v2\/media?parent=23818"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/papersspot.com\/blog\/wp-json\/wp\/v2\/categories?post=23818"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/papersspot.com\/blog\/wp-json\/wp\/v2\/tags?post=23818"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}