Question For a futures index, you are given that: i) the time-t value of the index is F(t) ii) F(O) = 75 iii) The index'

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Question For A Futures Index You Are Given That I The Time T Value Of The Index Is F T Ii F O 75 Iii The Index 1 (28.69 KiB) Viewed 96 times

Question For a futures index, you are given that: i) the time-t value of the index is F(t) ii) F(O) = 75 iii) The index's volatility is 35% iv) The continuously compounded risk-free interest rate is 10% A European gap call option has a time-1 payoff of F(1) - K if F(1) > 85, and is o otherwise. Given that the current price of the gap call is o, find K. a Possible Answers A 99 B 102 с 105 D 108 E 111