Repeat Problem 12 25 for an American put option on a futures contract The strike price and the futures price are $50, the risk free rate is 10 , the time to maturity is six months, and the volatility is 40 per annum In problem 12 25 a Calculate u, d, and p for a two step tree b Value the option usi...

a In this case and and b and c The value ...

Repeat Problem 12.25 for an American put option on a futures contract. The strike price and the

Question:

Repeat Problem 12.25 for an American put option on a futures contract. The and the futures price are $50, the risk-free rate is 10%, the time to is six months, and the volatility is 40% per annum.
In problem 12.25
a. Calculate u, d, and p for a two step tree
b. Value the option using a two step tree.
c. Verify that DerivaGem gives the same answer
d. Use DerivaGem to value the option with 5, 50, 100, and 500 time steps. Strike Price
In finance, the strike price of an option is the fixed price at which the owner of the option can buy, or sell, the underlying security or commodity. Maturity
Maturity is the date on which the life of a transaction or financial instrument ends, after which it must either be renewed, or it will cease to exist. The term is commonly used for deposits, foreign exchange spot, and forward transactions, interest...