First Question Previous Question Question 4 of 5 Next Question Last QuestionUnsaved change Moving to another question will save this response. As an analyst at Bank of America Merrill Lynch, you are evaluating European call futures option and European put futures options. A futures price is currently $50. It is expected to move either to $55 or down to $45 over the next three month. The risk-free interest rate is 8% per annum with continuous compounding. Please answer the following questions related to the one month futures call options and put options with a strike price of 49.

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)