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What is the black model price of a european call option

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Reference no: EM132731453

Today is September 1. A futures contract on crude oil expiring on December 20 of the same year has a futures price of $44.70. The volatility on the futures contract is 23%, and the continuously compounded risk-free rate is 2%. Assume that there are 365 days in a year.

a. What is the Black model price of a European call option on this futures contract, expiring on December 20 and with an exercise price of $46?

b. What is the Black model price of a European put option on this futures contract, expiring on December 20 and with an exercise price of $50?

Reference no: EM132731453

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