Find the price of an european call on futures

Reference no: EM131974489

Question: Find the price of an European call on futures if the futures price is 106 the exercise price is 100 the continuously compounded risk free rate is 7.2% the volatility is 0.41 and the call expires in six months.

Find the value of an European put option on futures if the futures price is 72 the exercise price is 70 the continuously compounded risk free rate is 8.5% the volatility is 0.38 and the time to expiration is three months.

Reference no: EM131974489

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