Question

A futures price is currently 50 . At the end of six months it will be either 56 or 46 . The risk-free interest rate is $6 \%$ per annum. What is the value of a six-month European call option on the futures with a strike price of 50 ? 

   A futures price is currently 50 . At the end of six months it will be either 56 or 46 . The risk-free interest rate is $6 \%$ per annum. What is the value of a six-month European call option on the futures with a strike price of 50 ?
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Options, Futures, and Other Derivatives
Options, Futures, and Other Derivatives
John C. Hull 10th Edition
Chapter 18, Problem 4 ↓

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- Current futures price (\(F_0\)) = 50 - Futures price in six months can be either 56 or 46 - Risk-free interest rate (\(r\)) = 6% per annum - Time to expiration (\(T\)) = 6 months = 0.5 years - Strike price (\(K\)) = 50  Show more…

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A futures price is currently 50 . At the end of six months it will be either 56 or 46 . The risk-free interest rate is $6 \%$ per annum. What is the value of a six-month European call option on the futures with a strike price of 50 ?
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