The futures price of an asset is currently 58 and the risk-free rate is 3% per annum with continuous compounding. A six-month put option on
The futures price of an asset is currently 58 and the risk-free rate is 3% per annum with continuous compounding. A six-month put option on the futures with a strike price of 60 is current worth 5.5. What is the value of a six-month call on the futures with strike price of 60 if both the put and the call are European?
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Authors: David Hartzell, Andrew E. Baum
2nd Edition
1119526094, 978-1119526094
