Question

For all problems where a risk free rate or a dividend yield is given, assume that the interest rate and the dividend yield are annual and continuously compounded rates. Problem 10 A stock index futures price is currently $3100, the dividend yield on the index is 2% per year, and the risk-free interest rate is 4% per year for all maturities. The maturity of the futures contract is 1 year. What is a lower bound for the price of a 6-month European put option on the index futures when the strike price is $3300? What is a lower bound for the price of a 6-month European put option on the index spot price when the strike price is $3300?

          For all problems where a risk free rate or a dividend yield is
given, assume that the interest rate and the dividend yield are
annual and continuously compounded rates.
Problem 10
A stock index futures price is currently $3100, the dividend
yield on the index is 2% per year, and the risk-free interest rate
is 4% per year for all maturities. The maturity of the futures
contract is 1 year. What is a lower bound for the price of a
6-month European put option on the index futures when the strike
price is $3300? What is a lower bound for the price of a 6-month
European put option on the index spot price when the strike price
is $3300?

Added by Nicholas R.

Question

Please give Ace some feedback