Multiple Choice
Find the value of a European put option on futures if the futures price is 72,the exercise price is 70,the continuously compounded risk-free rate is 8.5 percent,the volatility is 0.38 and the time to expiration is three months.
A) 6.30
B) 12.90
C) 4.34
D) 2.00
E) none of the above
Correct Answer:
Verified
Correct Answer:
Verified
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