Consider a European put futures option on crude oil. The time to the option’s maturity is 4 months, the current futures price is $20, the exercise price is $20, the risk-free interest rate is 9% per annum and the volatility of the futures price is 25% per annum. Find the put price using the BSM approach

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Step 3 Calculate the put price Put Price KerTNd2 S0Nd1 20 X e009 X 13 X 0464968 20 X 0405890 20 X 09... View the full answer