Question
A gold futures price is currently $70 per ounce of gold, its volatility is 20% continuously compounded annually, and the risk-free interest rate is 6%
A gold futures price is currently $70 per ounce of gold, its volatility is 20% continuously compounded annually, and the risk-free interest rate is 6% annual. Using two-period binomial model, calculate the following: a) What is the value of a 6-month European put option on the gold futures with a strike price of $65? b) What is the value of a 6-month American put option on the gold futures with a strike price of $65? c) What is your replicating portfolio today for a 6-month European put and American Put option with a strike price of $65?
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Fanatical Prospecting The Ultimate Guide To Opening Sales Conversations And Filling The Pipeline By Leveraging Social Selling Telephone Email Text And Cold Calling
Authors: Jeb Blount, Mike Weinberg
1st Edition
1119144752, 978-1119144755
