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Price the following option: Option type American futures put option Time to expiration 6 months Strike price $50 Current futures price $45 Volatility of futures
Price the following option:
| Option type | American futures put option |
| Time to expiration | 6 months |
| Strike price | $50 |
| Current futures price | $45 |
| Volatility of futures | 20% |
| Risk-free rate | 5% |
| Pricing model | 500-step binomial model |
4.94
5.33
5.74
5.79
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M: Finance
Authors: Marcia Cornett, Troy Adair, John Nofsinger
5th Edition
1260772357, 9781260772357
