Multiple Choice
The three-month S&P 500 futures contract is trading at a level of 1250.The rate of interest is 2%.The average rate of dividends for stocks in the index is 3%.Index volatility is 20%.What is the Black-Scholes price of a one-year at-the-money put option on the futures?
A) $97.34
B) $97.60
C) $98.33
D) $99.12
Correct Answer:
Verified
Correct Answer:
Verified
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