Assume the Black-Scholes framework. Consider a 6-month 90-strike European put option on a futures contract. You are

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Assume the Black-Scholes framework.

Consider a 6-month 90-strike European put option on a futures contract. You are given:

(i) The price of the underlying futures contract is 95.

(ii) The delta of the put option is −0.3382.

(iii) The continuously compounded risk-free interest rate is 3%.

(iv) The volatility of the futures is less than 50%.

Calculate the gamma of the futures put option.

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Derivative Pricing

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Authors: Ambrose Lo

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Question Posted: Nov 22, 2023 08:17 AM

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Assume the Black-Scholes framework. Consider a 6-month 90-strike European put option on a futures contract. You are

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We are given in ii that Ap e00305 Nd 03382 or d 034331 Then d N...View the full answer

Derivative Pricing

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