Determine the Appropriate Price of a European Put on a Futures

question 34

Multiple Choice

Determine the appropriate price of a European put on a futures if the call is worth $6.55,the continuously compounded risk-free rate is 5.6 percent,the futures price is $80,the exercise price is $75,and the expiration is in three months.

• A)$12.56
• B)$0.54
• C)$11.48
• D)$1.62
• E)none of the above

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