Question: Question 3 (Binomial Option Pricing Model) - (25 Marks) An American put futures option has a strike price of $0.55 and a time to maturity

Question 3 (Binomial Option Pricing Model) - (25 Marks) An American

Question 3 (Binomial Option Pricing Model) - (25 Marks) An American put futures option has a strike price of $0.55 and a time to maturity of 1 year. The current futures price is $0.60. The volatility of the futures price is 25% and the interest rate (with continuous compounding) is 6% per annum. Use a four step tree to value the option. Question 3 (Binomial Option Pricing Model) - (25 Marks) An American put futures option has a strike price of $0.55 and a time to maturity of 1 year. The current futures price is $0.60. The volatility of the futures price is 25% and the interest rate (with continuous compounding) is 6% per annum. Use a four step tree to value the option

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