Assume the Black-Scholes framework. Consider a 9-month at-the-money European put option on a futures contract....
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Assume the Black-Scholes framework. Consider a 9-month at-the-money European put option on a futures contract. You are given the following information: The strike price of the option is 20. The volatility of the stock is 25% per annum. The continuously compounded risk-free interest rate is 10% per annum.
a) What is the price of the put option at time 0?
b) If three months later the futures price is 17.7, what is the price of the put option at that time?
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