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Price the following option: Option type European futures call option Time to expiration 6 months Strike price $20 Current futures price $19 Volatility of futures
Price the following option:
| Option type | European futures call option |
| Time to expiration | 6 months |
| Strike price | $20 |
| Current futures price | $19 |
| Volatility of futures | 20% |
| Risk-free rate | 12% |
| Pricing model | 500-step binomial model |
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Multinational Business Finance
Authors: David K. Eiteman, Arthur I. Stonehill, Michael H. Moffett
10th Edition
0201785676, 9780201785678
