1. Calculate the value of a five-month European futures put option when the futures price is $29, the strike price is $30, the risk-free interest rate is 12% per annum, and the volatility of the futures price is 20% per annum. Show all work and briefly discuss.
2. What is the value of a European call futures option where the futures price is 50, the strike price is 50, the risk-free rate is 5%, the volatility is 20% and the time to maturity is three months?

Answer rating: 100% (QA)

To calculate the value of a European futures put option we can use the BlackScholes formula The formula for a European futures put option is as follow... View the full answer