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A futures price is currently $25, its volatility (SD) is 30% per annum, and the risk-free...

A futures price is currently $25, its volatility (SD) is 30% per annum, and the risk-free interest rate is 10% per annum. What is the value of a nine-month European call on the futures with a strike price of $26 according to the BSM option pricing model?

1.75

2.67

3.67

2.008

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Expert Solution

Answer is 2.008 as calculated using Deriva gem tool

jeff jeffy answered 1 year ago
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