Question
A 1-year European call on a futures with a strike price of $40 is priced at $3 when the futures price is $39. The risk-free
A 1-year European call on a futures with a strike price of $40 is priced at $3 when the futures price is $39. The risk-free rate is 2% per annum with continuous compounding. What is the price of a 1-year European put on the futures with a strike price of $40 if there are no arbitrage opportunities?
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Healthcare Finance An Introduction To Accounting And Financial Management
Authors: Louis Gapenski
1st Edition
1567930905, 978-1567930900
