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Q7. Price the following option: Option type European futures put option Time to expiration 6 months Strike price $20 Current futures price $19 Volatility of
Q7.
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 |
Group of answer choices
0.63
1.57
1.62
0.68
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Finance And Sustainability Proceedings From The Finance And Sustainability Conference Wroclaw 2017
Authors: Agnieszka Bem, Karolina Daszy?ska-?ygad?o , Ta?ána Hajdíková, Péter Juhász
1st Edition
3319922270,3319922289
