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

---

Definitions:

Financially Controlled

A condition where financial resources, expenses, and income are regulated and monitored to ensure stability and prevent fraud.

Entrepreneurial Hobby

An activity or interest pursued outside one's regular occupation that involves creating or managing ventures with a growth and profit potential.

B2B

Business-to-business, a type of transaction between businesses, such as one involving a manufacturer and wholesaler, or a wholesaler and retailer.

Small Business Sector

The segment of the economy composed of independently owned companies that have fewer employees and lower revenue than larger corporations.