Find the Value of a European Put Option on Futures

question 10

Multiple Choice

Find the value of a European put option on futures if the futures price is 72,the exercise price is 70,the continuously compounded risk-free rate is 8.5 percent,the volatility is 0.38 and the time to expiration is three months.

• A)6.30
• B)12.90
• C)4.34
• D)2.00
• E)none of the above

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