Question
(8 points) Calculate the value of a fivemonth European put futures option when the futures price is $19, the strike price is $20, the risk-free
(8 points) Calculate the value of a fivemonth European put futures option when the futures price is $19, the strike price is $20, the risk-free interest rate is 10% per annum, and the volatility of the futures price is 25% per annum.
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An Introduction to Investment Banks, Hedge Funds, and Private Equity
Authors: David P. Stowell
1st edition
978-0123745033, 0123745039, 978-9380931074
