FIN MCQ
FIN402 Chapter 9
Find the price of a European call on a futures contract if the futures price is $106, the exercise price is $100, the continuously compounded risk-free rate is 7.2 percent, the volatility is 0.41 and the call expires in six months.
Find the price of a European call on a futures contract if the futures price is $106, the exercise price is $100, the continuously compounded risk-free rate is 7.2 percent, the volatility is 0.41 and the call expires in six months.
Find the price of a European call on a futures contract if the futures price is $106, the exercise price is $100, the continuously compounded risk-free rate is 7.2 percent, the volatility is 0.41 and the call expires in six months.
a. $14.57
b. $17.04
c. $6.00
d. $19.78
e. none of the above
Answer: A
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