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:

Subcutaneously

Refers to administering medication or fluids into the layer of tissue beneath the skin.

Sliding Scale Insulin Order

A method of adjusting insulin doses based on blood sugar levels, typically given according to predetermined scales.

Glycosolated Hemoglobin

A measure of the average blood sugar levels over the past 3 months, used to monitor the long-term control of diabetes mellitus.

Fasting Blood Glucose

The level of sugar in the blood after abstaining from eating or drinking calories for at least 8 hours.