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    Futures and Options Markets Study Set 2
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    For an Option on Futures, the Volatility Is 35%, the Time
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For an Option on Futures, the Volatility Is 35%, the Time

Question 2

Question 2

Multiple Choice

For an option on futures, the volatility is 35%, the time step is three months, and the risk-free rate is 5%. What is the Cox, Ross, Rubinstein parameter, p?


A) 0.52
B) 0.46
C) 0.48
D) 0.50

Correct Answer:

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