Question 3 The quoted futures price corresponds to a forward rate of 8% per annum with quarterly compounding and actual/360. The parameters for Black’s model are therefore: F k = 0.08, K= 0.08, R=...

Question 3

The quoted futures price corresponds to a forward rate of 8% per annum with quarterly compounding and actual/360. The parameters for Black’s model are therefore:  F_k
= 0.08, K= 0.08, R= 0.075,
σ
_k
= 0.15, t_k
= 0.75 and P(0,t_k+1) = e^-
0.075*1
=0.9577

Use these information to estimate the call price with mathematical formulars.