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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