Use a three time step tree to value a nine month American call option on wheat futures The current futures price is 400 cents, the strike price is 420 cents, the risk free rate is 6 , and the volatility is 35 per annum Estimate the delta of the option from your tree ...

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Use a three-time-step tree to value a nine-month American call option on wheat futures. The current futures

Question:

Use a three-time-step tree to value a nine-month American call option on wheat futures. The current futures price is 400 cents, the is 420 cents, the risk-free rate is 6%, and the volatility is 35% per annum. Estimate the delta of the option from your tree. Strike Price
In finance, the strike price of an option is the fixed price at which the owner of the option can buy, or sell, the underlying security or commodity.