The formula for the price of a European call futures option in terms of the futures price
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The formula for the price of a European call futures option in terms of the futures price F is given in Chapter 14 as where c=N
(d) KN In Fa/K)+21/2 o and d-4-0 and K, r, 7, and respectively.
(a) Prove that are the strike price, interest rate, time to maturity, and volatility. ) = KN'
(d)
(b) Prove that the delta of the call price with respect to the futures price is e** N(d).
(c) Prove that the vaga of the call price is FT (4) Prove the formula for the cho of a call futures option given at the end of Section
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