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elf_fu elf_fu
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6 years ago
Suppose the 120-day futures price on crude oil is $115.00 per barrel and the volatility is 20.0%. Assume interest rates are 3.5%. What is the price of a $110 strike call futures option that expires in 120 days?
A) $3.09
B) $2.99
C) $2.89
D) $2.79
Textbook 
Derivatives Markets

Derivatives Markets


Edition: 3rd
Author:
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phuongha2892phuongha2892
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#1
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6 years ago
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elf_fu Author
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#2
6 years ago
Thank you Heavy Heart
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