Question
Price the following option: Option type -European futures put option Time to expiration-6 months Strike price-$20 Current futures price-$19 Volatility of futures-20% Risk-free rate-12% Pricing
Price the following option:
Option type -European futures put 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
a,0.63
b.0.68
c.1.57
d.1.62
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Financial and Management Accounting
Authors: Pauline Weetman
7th edition
1292086599, 978-1292086590
