You are to price a 2-year 80-strike American put option on a futures contract using...
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You are to price a 2-year 80-strike American put option on a futures contract using a binomial tree.
You are given the following information:
- The length of each time step is 1 year.
- The volatility of the futures price is 25%.
- The initial futures price is 70.
- The continuously compounded risk-free interest rate is 5%.
Calculate the price of the put option.
You are to price a 2-year 80-strike American put option on a futures contract using a binomial tree.
You are given the following information:
- The length of each time step is 1 year.
- The volatility of the futures price is 25%.
- The initial futures price is 70.
- The continuously compounded risk-free interest rate is 5%.
Calculate the price of the put option.
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