D & R A1 5 - 1 Question 5. Pricing Option on Futures Today is September 1. A futures contract on crude oil expiring on December 20 of the same year has a futures price of $44.70. The volatility on the futures contract is 23%, and the continuously compounded risk-free rate is 2%. Assume that there are 365 days in a year. What is the Black model price of a European call option on this futures contract, expiring on December 20 and with an exercise price of $46?
D & R A1 5 - 1 Question 5. Pricing Option on Futures Today is September 1. A futures contract on crude oil expiring on December 20 of the same year has a futures price of $44.70. The volatility on the futures contract is 23%, and the continuously compounded risk-free rate is 2%. Assume that there are 365 days in a year. What is the Black model price of a European call option on this futures contract, expiring on December 20 and with an exercise price of $46?
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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D & R A1 5 - 1
Question 5. Pricing Option on Futures
Today is September 1. A futures contract on crude oil expiring on December 20 of the same year has a futures price of $44.70. The volatility on the futures contract is 23%, and the continuously compounded risk-free rate is 2%. Assume that there are 365 days in a year.
- What is the Black model price of a European call option on this futures contract, expiring on December 20 and with an exercise price of $46?
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