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The futures price of a commodity is $45. The volatility of the futures price is 14% and the continuously compounded risk
Posted: Tue Apr 26, 2022 11:15 am
by answerhappygod
- The Futures Price Of A Commodity Is 45 The Volatility Of The Futures Price Is 14 And The Continuously Compounded Risk 1 (48.47 KiB) Viewed 44 times
The futures price of a commodity is $45. The volatility of the futures price is 14% and the continuously compounded risk free rate is 3% for all maturities. An American put option on the futures contract has strike price of $45 and a time to expiration of 6 months. Use a two-step tree. Which of the following is closest to the value of the American put ? O a $1.5625 b. $0.0 O c. $1.5508