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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Keith LeannonLv2

29 Sep 2019

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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? (please show all work)

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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?

(please show all work)