Exercise 14.9 (Black’s Formula) In the same setting as Exercise 14.8, the futures price is given by

Show that the premium of the European call (futures option) with strike price K and maturity s

where fT (t) = f and

Also, show that the put–call parity of the futures option is given by

where pf (t) is the premium of the futures put option and Fs(t) is the s-forward price of the underlying security S(t).

Transcribed Image Text:

fr(t) = e(T) S(t), 0