Exercise 12.4.4 (1) Verify that, under the BlackScholes model, a European futures option is worth the same
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Exercise 12.4.4 (1) Verify that, under the Black–Scholes model, a European futures option is worth the same as the corresponding European option on the cash asset if the options and the futures contract have the same maturity. The cash asset may pay a continuous dividend yield. (2) Then argue that, in fact, (1) must hold under any model.
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Financial Engineering And Computation Principles Mathematics Algorithms
ISBN: 9780521781718
1st Edition
Authors: Yuh-Dauh Lyuu
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