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a. What is the probability of an up movement in a risk-neutral world? (sample answer: 35.50% ) b. What is the futures call option delta?

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a. What is the probability of an up movement in a risk-neutral world? (sample answer: 35.50% ) b. What is the futures call option delta? (sample answer: 0.45) c. What is the futures put option delta? (sample answer: 0.45 ) d. What is the value of the call option? (sample answer: $1.45 ) e. What is the value of the put option? (sample answer: $1.45 )

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