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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?

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Casey Durgan
Casey DurganLv2
29 Sep 2019

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A put option and a call option with an exercise price of $65 and three months to expiration sell for $1.50 and $4.50, respectively.

If the risk-free rate is 4.6 percent per year, compounded continuously, what is the current stock price?

Consider a single-stock futures contract on Exxon-Mobil stock. Consider the following scenario:

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Annualized, continuously compounded risk-free interest rate for 5-month period: r = 5.31%.

Current spot price of Exxon Mobil stock: $158 per share.

Dividend per share of $0.69 in 3 months.

Contract expiration: T = 5 months.

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An arbitrage opportunity exists. What is the net profit per share when the futures contract expires? Use a strategy that has zero net cash flows today.

Q3. A futures price is currently 55, its volatility is 20% per annum, and the risk-free rate is 6% per annum. What is the value of a 5-month European put on the futures with a strike price of 65?

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