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A futures price is currently 100. It is expected to move up to 120 or down...

A futures price is currently 100. It is expected to move up to 120 or down to 70 over the next year. The risk-free interest rate is 6%. What is the value of a 1-year call option with a strike price of 98?

Group of answer choices

15

10.4

7.2

5.7

Solutions

Expert Solution

Solution.>

I have solved it in Excel. The formula used are attached along with this excel. If you still have any doubt, kindly ask in the comment section.

The price of the 1- year call option is 15.

Hence, the correct option is (A).

The formula used are:

Note: Give it a thumbs up if it helps! Thanks in advance!

jeff jeffy answered 1 year ago
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