Question
Calculate the value of a five-month European futures put option when the futures price is $$\$ 19$$, the strike price is $$\$ 20$$, the risk-free interest rate is $12 \%$ per annum, and the volatility of the futures price is $20 \%$ per annum.
Step 1
Since the option has a five-month expiration, we need to convert this to years. There are 12 months in a year, so five months is equal to $5/12$ years. Show more…
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