12.18. The futures price of a commodity is $90. Use a three-step tree to value (a) a...

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12.18. The futures price of a commodity is $90. Use a three-step tree to value

(a) a nine-month American call option with strike price $93 and

(b) a nine-month American put option with strike price $93. The volatility is 28% and the risk-free rate (all maturities) is 3%

with continuous compounding

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Fundamentals Of Futures And Options Markets

ISBN: 9780134083247

9th Edition

Authors: John Hull

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Question Posted: Jul 26, 2024 08:00 AM

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12.18. The futures price of a commodity is $90. Use a three-step tree to value (a) a...

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Fundamentals Of Futures And Options Markets

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