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

question 10

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, u?

• A) 1.34
• B) 1.29
• C) 1.09
• D) 1.19