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Financial risk management-

Calculate the implied volatility of soybean futures prices from the following information
concerning a European put on soybean futures:

Current futures price 525
Exercise price 525
Risk-free rate 6% per annum
Time to maturity 5 months
Put price 20

Solution Summary

This solution calculates an implied volatility on a futures prices given a current futures price, exercise price, risk-free rate, time to maturity and put price.