Question
The current futures price of a stock is $15 per share. One month later, when the futures option expires, the futures price could have risen
The current futures price of a stock is $15 per share. One month later, when the futures option expires, the futures price could have risen to $16.5 per share or declined to $14 per share. The strike price is $14.5. The risk-free rate is 6%.
- What is the growth rate of futures prices in risk neutral world? (1 mark)
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Investment Risk Management
Authors: Yen Yee Chong
1st Edition
0470849517, 9780470849514
