A futures price is currently 40. It is known that at the end of 3 months the
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A futures price is currently 40. It is known that at the end of 3 months the price will be either 35 or 45. What is the value of a 3-month European call option on the futures with a strike price of 42 if the risk-free interest rate is 7% per annum?
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Divya Munir
I hold M.Sc and M.Phil degrees in mathematics from CCS University, India and also have a MS degree in information management from Asian institute of technology, Bangkok, Thailand. I have worked at a international school in Bangkok as a IT teacher. Presently, I am working from home as a online Math/Statistics tutor. I have more than 10 years of online tutoring experience. My students have always excelled in their studies.
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