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Price the following option: Option type European futures put option Time to expiration 6 months Strike price $20 Current futures price $21 Volatility of futures
Price the following option:
| Option type | European futures put option |
| Time to expiration | 6 months |
| Strike price | $20 |
| Current futures price | $21 |
| Volatility of futures | 20% |
| Risk-free rate | 12% |
| Pricing model | 500-step binomial model |
Group of answer choices
0.63
0.68
1.57
1.62
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Routledge Handbook Of Financial Technology And Law
Authors: Iris Chiu, Gudula Deipenbrock
1st Edition
0367344149, 978-0367344146
