A Futures Price Is Currently 40 Cents

question 2

Multiple Choice

A futures price is currently 40 cents.It is expected to move up to 44 cents or down to 34 cents in the next six months.The risk-free interest rate is 6%.What is the value of a six-month put option with a strike price of 37 cents?

• A) 3.00 cents
• B) 2.91 cents
• C) 1.16 cents
• D) 1.20 cents