For an Option on Futures, the Volatility Is 35%, the Time

question 2

Multiple Choice

For an option on futures, the volatility is 35%, the time step is three months, and the risk-free rate is 5%. What is the Cox, Ross, Rubinstein parameter, p?

• A) 0.52
• B) 0.46
• C) 0.48
• D) 0.50

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Definitions:

Hemoglobin

A protein found in red blood cells that binds oxygen in the lungs and transports it to tissues throughout the body.

Blood Plasma

The liquid component of blood that carries cells and proteins throughout the body.

Chemical Equilibrium

A state in a chemical reaction where the rates of the forward and reverse reactions are equal, leading to constant concentrations of products and reactants.

Competing Reactions

Chemical reactions that proceed simultaneously from the same reactants to form different products, often influencing the yield and rates of each other.