Question
A 3-month European call on a futures has a strike price of $100. The futures price is $100 and the volatility is 20%. The risk-free
A 3-month European call on a futures has a strike price of $100. The futures price is $100 and the volatility is 20%. The risk-free rate is 2% per annum with continuous compounding. What is the value of the call option? (Use Black-Scholes-Merton valuation for futures options)
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Contemporary Financial Management
Authors: R. Charles Moyer, James R. McGuigan, Ramesh P. Rao
14th edition
1337090581, 978-1337090582
