Value a 2-period futures option G using the binomial model? The option is defined by the...
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Value a 2-period futures option "G" using the binomial model? The option is defined by the terminal payoff as given below where F(2) is the futures price at maturity (T=2) and G(F(2)) is the futures option payoff at time 2 defined as G(F(2)) = sqrt(abs{F(2)-100}) Other market information is: ☐ 1-year Time steps ☐ 20% Volatility ☐ 100 Initial futures price ☐0% Dividend yield 2% Risk-free rate (Annual compounding) Value a 2-period futures option "G" using the binomial model? The option is defined by the terminal payoff as given below where F(2) is the futures price at maturity (T=2) and G(F(2)) is the futures option payoff at time 2 defined as G(F(2)) = sqrt(abs{F(2)-100}) Other market information is: ☐ 1-year Time steps ☐ 20% Volatility ☐ 100 Initial futures price ☐0% Dividend yield 2% Risk-free rate (Annual compounding)
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