Question
The June WTI futures price is $103.87/bbl. The annualized volatility (sigma) for June WTI futures is 52.67 percent. The continuously compounded, annualized risk free interest
The June WTI futures price is $103.87/bbl. The annualized volatility (sigma) for June WTI futures is 52.67 percent. The continuously compounded, annualized risk free interest rate is .01.
a) Construct a binomial tree of possible futures values in 4 weeks assuming one week time intervals (delta t=1/52). What is u? what is d?
b) What is the value of p for this futures contract?
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Financial Shenanigans How To Detect Accounting Gimmicks And Fraud In Financial Reports
Authors: Howard M. Schilit, Jeremy Perler, Yoni Engelhart
4th Edition
126011726X, 9781260117264
