Question
A futures price is currently 25 , its volatility is $30 \%$ per annum, and the risk-free interest rate is $10 \%$ per annum. What is the valuc of a nine-month European call on the futures with a strike price of 26 ?
Step 1
Since the option has a nine-month expiration, we need to convert it to years. There are 12 months in a year, so nine months is equal to $\frac{9}{12} = 0.75$ years. Show more…
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