16.27. The strike price of a futures option is 550 cents, the risk-free interest rate is 3%,...
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16.27. The strike price of a futures option is 550 cents, the risk-free interest rate is 3%, the volatility of the futures price is 20%, and the time to maturity of the option is 9 months.
The futures price is 500 cents.
(a) What is the price of the option if it is a European call?
(b) What is the price of the option if it is a European put?
(c) Verify that put−call parity holds.
(d) What is the futures price for a futures-style option if it is a call?
(e) What is the futures price for a futures-style option if it is a put?
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