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QUESTION
Calculate the value of a 6-month American put futures option with $30 strike price. Currently, the futures price is $28, the risk-free rate is 5% and the volatility of the futures price is 20% per ann
Calculate the value of a 6-month American put futures option with $30 strike price. Currently, the futures price is $28, the risk-free rate is 5% and the volatility of the futures price is 20% per annum. Use 500-step binomial model.
2.76
2.78
2.48
2.32
