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Calculate the value of a five-month European futures put option when the futures price is $29, the strike price is $30, the risk-free interest rate
- Calculate the value of a five-month European futures put option when the futures price is $29, the strike price is $30, the risk-free interest rate is 12% per annum, and the volatility of the futures price is 20% per annum. Show all work and briefly discuss.
- What is the value of a European call futures option where the futures price is 50, the strike price is 50, the risk-free rate is 5%, the volatility is 20% and the time to maturity is three months?
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Personal Finance
Authors: Jeff Madura, Hardeep Singh Gill
3rd Canadian Edition
978-0133035575, 133035573, 978-0133970524, 133970523, 978-0134040042
