An option has a gold futures contract as the underlying asset The current 1 year gold futures price is $300 oz, the strike price is $290, the risk free rate is 6 , volatility is 10 , and time to expiration is 1 year Suppose n 1 What is the price of a call option on gold What is the replicating port...

We have to pay attention when we calculate u and d We must use the formulas given in the section o ...

An option has a gold futures contract as the underlying asset. The current 1-year gold futures price

Question:

An option has a gold futures contract as the underlying asset. The current 1-year gold futures price is $300/oz, the is $290, the risk-free rate is 6%, volatility is 10%, and time to expiration is 1 year. Suppose n = 1. What is the price of a call option on gold? What is the replicating for the call option? Evaluate the statement: "Replicating a call option always entails borrowing to buy the underlying asset." Strike Price
In finance, the strike price of an option is the fixed price at which the owner of the option can buy, or sell, the underlying security or commodity. Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...