The strike price of a futures option is 550 cents, the risk free rate of interest is 3 , the volatility of the futures price is 20 , and the time to maturity of the option is 9 months The futures price is 500 cents a What is the price of the option if it is a European call b What is the price of th...

a The price given by equation 167 or DerivaGem is 1620 cents b The price given by equat ...

The strike price of a futures option is 550 cents, the risk-free rate of interest is 3%,

Question:

The of a futures option is 550 cents, the risk-free rate of interest is 3%, the volatility of the futures price is 20%, and the time to of the option is 9 months. The futures price is 500 cents.
a. What is the price of the option if it is a European call?
b. What is the price of the option if it is a European put?
c. Verify that put-call parity holds
d. What is the futures price for a futures style option if it is a call?
e. What is the futures price for a futures style option if it is a put?
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. Maturity
Maturity is the date on which the life of a transaction or financial instrument ends, after which it must either be renewed, or it will cease to exist. The term is commonly used for deposits, foreign exchange spot, and forward transactions, interest...