Question
A futures price is currently 40. It is expected to move up to 44 or down to 34 in the next six months. The risk-free
A futures price is currently 40. It is expected to move up to 44 or down to 34 in the next six months. The risk-free interest rate is 3%.(Show Work)
a. What is the probability of an up movement in a risk-neutral world?
b. What is the value of a six-month put option with a strike price of 37?
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Investments
Authors: Zvi Bodie, Alan J. Marcus, Alex Kane
6th Edition
0072861789, 9780072861785
