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A futures price is currently 40 cents. It is expected to move up to 44 cents or down to 34 cents in the next six
A futures price is currently 40 cents. It is expected to move up to 44 cents or down to 34 cents in the next six months. The risk-free interest rate is 6%. (i) What is the probability of an up movement in a risk-neutral world? (ii) What is the value of a six-month put option with a strike price of 37 cents? (Give two decimal places) (iii) What is the value of a six-month call with a strike price of 33 cents? (Give two decimal places
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