Today is September 1. A futures contract on crude oil expiring on December 20 of the same year has a futures price of $44.70. The volatility on the futures contract is 23%, and the continuously compounded risk-free rate is 2%. Assume that there are 365 days in a year.

What is the Black model price of a European call option on this futures contract, expiring on December 20 and with an exercise price of $46?

Answer rating: 100% (QA)

Given spot porice S447 3D Volatility o 0 23 3D Rist free rate xf002 Frow sep1 to dec20 1dos mo... View the full answer