Question
A futures price is currently 120. At the end of three months it will be either 135 or 105. The risk-free interest rate is 5%
A futures price is currently 120. At the end of three months it will be either 135 or 105. The risk-free interest rate is 5% per annum. What is the value of a three-month European call option on the futures with a strike price of 120?
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Real Estate Investing Market Analysis Valuation Techniques And Risk Management
Authors: Benedetto Manganelli
1st Edition
3319063960,3319063979
