As an analyst at Bank of America Merrill Lynch, you are evaluating European call futures option and European put futures

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As An Analyst At Bank Of America Merrill Lynch You Are Evaluating European Call Futures Option And European Put Futures 1 (30.81 KiB) Viewed 9 times

As an analyst at Bank of America Merrill Lynch, you are evaluating European call futures option and European put futures options. A futures price is currently $50. It is expected to move either to $55 or down to $45 over the next three month. The risk-free interest rate is 8% per annum with continuous compounding. Please answer the following questions related to the futures call options and put options with a strike price of 49. a. What is the probability of an up movement in a risk-neutral world? b. What is the futures call option delta? c. What is the futures put option delta? d. What is the value of the call option? e. What is the value of the put option? (sample answer: 0.45) (sample answer: -0.45) (sample answer: $1.45) (sample answer: $1.45) (sample answer: 35.50%)